public static class Proxy
{
    [DllImport("wininet.dll", SetLastError = true)]
    private static extern bool InternetSetOption(IntPtr hInternet, int dwOption, IntPtr lpBuffer, int lpdwBufferLength);

    public struct Struct_INTERNET_PROXY_INFO
    {
        public int dwAccessType;
        public IntPtr proxy;
        public IntPtr proxyBypass;
    };        

    public static void SetProxy(string strProxy)
    {
        const int INTERNET_OPTION_PROXY = 38;
        const int INTERNET_OPEN_TYPE_PROXY = 3;
        Struct_INTERNET_PROXY_INFO struct_IPI;
        struct_IPI.dwAccessType = INTERNET_OPEN_TYPE_PROXY;
        struct_IPI.proxy = Marshal.StringToHGlobalAnsi(strProxy);
        struct_IPI.proxyBypass = Marshal.StringToHGlobalAnsi("local");
        IntPtr intptrStruct = Marshal.AllocCoTaskMem(Marshal.SizeOf(struct_IPI));
        Marshal.StructureToPtr(struct_IPI, intptrStruct, true);
        bool iReturn = InternetSetOption(IntPtr.Zero, INTERNET_OPTION_PROXY, intptrStruct, Marshal.SizeOf(struct_IPI));
    }
}

Proxy.SetProxy("127.0.0.1:8888");