>From the ActiveState docs:
Under Windows XP
1. Open the Control Panel and click the System icon.
The System Properties dialog is displayed.
2. On the Advanced tab, click on Environment Variables.
The Environment Variables dialog is displayed.
3. Click New in the System variables panel.
The New Sytem Variable dialog is displayed.
4. Add the setting HTTP_proxy, with your proxy name as the value.
You must include "http://"; and the proxy port, if applicable; for
example, "http://proxy:8080/";.
5. If you require a user name and/or password to access your
proxy, click New again to add each of the settings HTTP_proxy_user and
HTTP_proxy_pass, with your user name and password as the respective
values.
Under Windows 200x
1. Right click on My Computer.
2. Click on Properties and select the Advanced tab.
3. Click "Environment Variables".
The "System Variables" dialog appears.
4. Click New, and add the setting HTTP_proxy, with your proxy
name as the value (you must include "http://";), followed by a colon and
the proxy port, if applicable; e.g., "http://proxy:8080/";
5. If you require a user name and/or password to access your
proxy, click New again to add each of the settings HTTP_proxy_user and
HTTP_proxy_pass, with your user name and password as the respective
values.
Under Windows NT
1. Right click on My Computer.
2. Click on Properties, select the Environment tab.
3. Add the setting HTTP_proxy, with your proxy name as the value
(you must include "http://";), followed by a colon and the proxy port, if
applicable; for example, "http://proxy:8080/";
4. If you require a user name and/or password to access your
proxy, add the settings HTTP_proxy_user and HTTP_proxy_pass, with your
user name and password as the respective values.
Under Windows 98/ME
1. Select Start > Run to open the Run dialog, enter msconfig in
the Open field and then click OK.
The System Configuration Utility dialog is displayed.
2. Click on the Autoexec.bat tab, and add the following entries:
* SET HTTP_proxy=<your proxy server (you must include
"http://";, followed by a colon and the proxy port, if applicable; e.g.,
SET HTTP_proxy=http://proxy:8080/
* SET HTTP_proxy_user=<your user name> (if required)
* SET HTTP_proxy_pass=<your password> (if required)
3. Click OK to save these settings.
The System Settings Change dialog is displayed.
4. Click Yes to restart your computer so that the changes take
effect.
Under Windows 95
In your AUTOEXEC.BAT file, place the following lines then reboot so
the changes can take effect:
1. SET HTTP_proxy=<your proxy server (you must include "http://";,
followed by a colon and the proxy port, if applicable; e.g., SET
HTTP_proxy=http://proxy:8080/
2. SET HTTP_proxy_user=<your user name> (if required)
3. SET HTTP_proxy_pass=<your password> (if required)
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