Смотрите libcurl-tutorial (3)раздел Переменные среды :
libcurl automatically checks and uses a set of environment variables to know what proxies to use for certain protocols. The names of the variables are following an ancient de facto standard and are built up as "[protocol]_proxy" (note the lower casing). Which makes the variable 'http_proxy' checked for a name of a proxy to use when the input URL is HTTP. Following the same rule, the variable named 'ftp_proxy' is checked for FTP URLs. Again, the proxies are always HTTP proxies, the different names of the variables simply allows different HTTP proxies to be used. The proxy environment variable contents should be in the format "[protocol://][user:password@]machine[:port]". Таким образом, вы должны ввести прокси в настройках переменных среды, а не в настройках сети.