HANDLE hConection;
DWORD dwStatus;
CONNMGR_CONNECTIONINFO sConInfo;
memset(&sConInfo, 0 ,sizeof(CONNMGR_CONNECTIONINFO));

sConInfo.cbSize = sizeof(CONNMGR_CONNECTIONINFO);
sConInfo.dwParams = CONNMGR_PARAM_GUIDDESTNET;
sConInfo.dwPriority = CONNMGR_PRIORITY_USERINTERACTIVE;
sConInfo.dwFlags = CONNMGR_FLAG_PROXY_HTTP
  |CONNMGR_FLAG_PROXY_WAP
  |CONNMGR_FLAG_PROXY_SOCKS4
  |CONNMGR_FLAG_PROXY_SOCKS5;

sConInfo.bExclusive  = FALSE;
sConInfo.bDisabled   = FALSE;

         ConnMgrEstablishConnectionSync(&sConInfo, &hConnection, 10000, &dwStatus);