The web browser automatically detects and incorporates the proxy settings in Internet Settings, and thus is matched to the machine from which the control will be sending streams. Since the proxy is local and not remote, why do you need to change the machine's proxy settings for every call? Are you trying to spoof something?
Knowing why you need to do something is as important as knowing what you are trying to do.
Still not getting it -- sorry. The only thing the proxy would have to do with is accessing the WAN stream. If you want to spoof beign different machines, etc. then it wouldn't be the proxy you need to change, but the request headers. Far as I know, the remote machine doesn't have any access to read your proxy settings in any way -- changing your proxy wouldn't make any difference at all to the remote server unless you changed your request headers. You can spoof request headers a heck of a lot easier than reconfiguring the local machine's proxy for every request.
Unless I'm totally misunderstanding this, there's no reason or benefit to changin your local proxy every time you access a different page on a remote server.
If it's request headers you really need to change, NET versions have various security settings to prevent certain headers from being modified. Look at the old legacy MSXMLHTTP4 ActiveX --it allows you to modify any request header you want.
(edit) I was talking about httpwebrequest. using System.Net, you can still do everything manually.
mrgr8avill: You should not comment on subjects you do not understand. Not only does it not help the original poster, but you leave a permanent record of incorrect information on the internet for others to find.
The purpose of the proxy is to mask the end users true public IP address. By changing IP addresses the host website will see each request as coming from a different user. This is a common task and not an odd request worthy of your gentle flaming...
Takkun: I too am researching the most appropriate technique... ;-)