Recently, I was trying to use the Gimp File->Open Location menu item under windows (which is great for snagging png files off the web, as copy paste in/Windows doesn't support transparency properly... but that is a different issue...). I was stuck behind a proxy and it wouldn't work. Googling for 20-30 minutes provided nothing. Nothing in the docs. Hmmm.
I dug into the source code and did a bit of troubleshooting and discovered that Gimp compiled for Windows uses WinHTTP to download URI's. And WinHTTP does not use the normal computer's Internet Explorer network connection settings! The only way to change this setting is by using a command line program.