Windows Service to run constantly

The OnStart() callback needs to return in a timely fashion, so you'll want to kick off a thread where all your work will be performed. I would recommend adding the following fields to your class:

using System.Threading;
private ManualResetEvent _shutdownEvent = new ManualResetEvent(false);
private Thread _thread;

The _thread field will hold a reference to the System.Threading.Thread object you create in the OnStart() callback. The _shutdownEvent field holds a system-level event construct that will be used to signal the thread to stop running on service shutdown.

In the OnStart() callback, create and start your thread.

protected override void OnStart(string[] args)
{
     _thread = new Thread(WorkerThreadFunc);
     _thread.Name = "My Worker Thread";
     _thread.IsBackground = true;
     _thread.Start();
}

You need a function named WorkerThreadFunc in order for this to work. It has to match the System.Threading.ThreadStart delegate signature.

private void WorkerThreadFunc()
{
}

If you don't put anything in this function, the thread will start up and then immediately shutdown, so you have to put some logic in there that basically keeps the thread alive while you do your work. This is where the _shutdownEvent comes in handy.

private void WorkerThreadFunc()
{
    while (!_shutdownEvent.WaitOne(0)) {
        // Replace the Sleep() call with the work you need to do
        Thread.Sleep(1000);
    }
}

The while loop checks the ManualResetEvent to see if it is "set" or not. Since we initialized the object with false above, this check returns false. Inside the loop, we sleep for 1 second. You'll want to replace this with the work you need to do - monitor proxy settings, etc.

Finally, in the OnStop() callback of your Windows Service, you want to signal the thread to stop running. This is easy using the _shutdownEvent.

protected override void OnStop()
{
     _shutdownEvent.Set();
     if (!_thread.Join(3000)) { // give the thread 3 seconds to stop
         _thread.Abort();
     }
} 

Hope this helps.

You need to exit your OnStart handler in order for the service controller to realize that your service has actually started. To make it work like you want, you could start a timer that ticks at an interval and processes when it ticks.

Edit:

Try putting a System.Diagnostics.Debugger.Launch() in your OnStart to see what is happening (and put a breakpoint in ThreadWorker). I would recommend wrapping this in #if DEBUG to be sure it doesn't get deployed.

I just also realized that you do not give your Thread a name:

 Thread myThread = new Thread(ThreadWorker);
 myThread.Start();