There are different ways to set proxy in windows Operating System (whether it can be XP or win7 or Win 8).
Open Internet Explorer – > Settings –> Internet Options –> LAN Settings and set the proxy address and port (as given in the image)
For some applications like Windows live writer installation, .NET Framework download, etc, microsoft uses the proxy address from a different location and occasionaly you can get an error like this
0x800f0906: “Windows couldn’t connect to the Internet to download necessary files. Make sure that you’re connected to the Internet, and click Retry to try again.”
In this case, you can set the proxy differently as given below
Open the Command Prompt using Administrative privileges (command –> right click -> Run as administrator) and issue the following command (if the proxy address is 192.168.0.1 and the port number is 808)
netsh winhttp set proxy 192.168.0.1:808
and press enter. That’s it!!! now windows 8 or windows 7 will take the proxy settings as specified above.