I've been doing some testing with WatiN lately. For one of the tests I will need to use a proxy to perform the tests. I can set the proxy manually from IE, but I want to do it programatically. In the past I've had success setting proxy for webbrowser control using the code from here
http://social.msdn.microsoft.com/Forums/en/Vsexpressvb/thread/f5f31721-0fe3-41a6-aa22-48911755f688
Unfortunately this does not work for WatiN.