You are using the COM object for a web browser. This browser's API does not expose as many configurable parameters as a web client library would, because the former is used by users and the latter is coded against.
As I already explained in your newer question on the same subject, it is not the request itself that differs when using a proxy. The client, when a proxy has been configured, will connect to the proxy. So there's nothing you can force by adding request headers if the browser doesn't know about a proxy.
Searching the web for '"InternetExplorer.Application" set proxy' gave me only one approach, repeated in various variations: set the system-wide proxy before each request. There are different ways of doing so, the proper way would be to call InternetSetOption()
with the appropriate parameters, or you can bluntly write into the registry.
If on the other hand you're able to use an XmlHttpRequest
-alike object, which is designed to be used from code, you can set the proxy on that for each request. It would really help if you can explain what problem you are actually trying to solve.