Global proxy settings for all Windows applications in Windows Vista

The short answer is: you can't. There is no "global" proxy setting, because proxies are used by individual applications (like Internet Explorer, Firefox, etc.), not by Windows itself. However, some programs internally use Internet Explorer libraries to access the web, so they will use the IE setting, as posted by firedfly.

You can force individual applications to use proxies, even if the applications themselves don't support proxies, by using tools such FreeCAP or Socksify.

If you really do want to force all programs to go through a proxy it would have to be done at the network level, so you would need to establish a VPN connection to a service like Your Freedom or Steganos Internet Anonym.

The default proxy settings are set in Internet Explorer's options.

Tools->Internet Options->Connections tab->Lan Settings button

The proxy information specified here will be the system default. Though, not all applications use the default proxy settings.

You can set a global, machine level proxy by using netsh.exe. Run:

netsh winhttp set proxy <proxy server address> <exception list in quotes, seperated by ;>