In order to set new proxy settings use InternetSetOption.

public static extern bool InternetSetOption(IntPtr hInternet, int

Public Shared Function InternetSetOption(hInternet As IntPtr, dwOption As Integer, lpBuffer As IntPtr, dwBufferLength As Integer) As Boolean

     private static extern bool InternetSetOption(IntPtr hInternet,

     bool iReturn = InternetSetOption(IntPtr.Zero, INTERNET_OPTION_PROXY, intptrStruct, Marshal.SizeOf(struct_IPI));