In order to define the “system” proxy on windows, you can now use Netsh (instead of proxycfg, that was used in the past)
to set the proxy, you can use the following process:
define the proxy within Internet Explorer
run the command
Netsh winhttp import proxy source=ie
Alternatively you can set the proxy directly via
Netsh winhttp set proxy myproxy:portnumber <exceptions>
One thing to take into consideration is that there are two versions of Netsh,
one 64 bits under c:\windows\system32 (the native and default one from the command prompt)
as well as the 32 bits one under c:\Windows\Syswow64 folder.
The 64 bits version should normally be the one to use.