C# Signature:

    [DllImport("wininet.dll", SetLastError = true)]
    private static extern bool InternetQueryOption(    
        IntPtr hInternet,    //Handle on which to query information.
        int dwOption,        //Internet option to be queried.
        IntPtr lpBuffer,    //Pointer to a buffer that receives the option setting.
        ref int lpdwBufferLength//Pointer to a variable that contains the size of lpBuffer, in bytes.
    );

VB Signature:

Declare Function  InternetQueryOption Lib "wininet.dll" (TODO) As TODO

User-Defined Types:

    public struct Struct_INTERNET_PROXY_INFO
    {
        public int dwAccessType;//Access type.
        public IntPtr proxy;//Pointer to a string that contains the proxy server list
        public IntPtr proxyBypass;//Pointer to a string that contains the proxy bypass list.
    };

Notes:

None.

Tips & Tricks:

Please add some!!

Sample Code: Inquiry Proxy Option Sample

        const int ERROR_INSUFFICIENT_BUFFER = 122;
        Struct_INTERNET_PROXY_INFO struct_IPI;
        IntPtr intptrStruct = IntPtr.Zero;
        int bufferLength = 0;
        try
        {
            //Retrive Buffer Size
            bool iReturn = InternetQueryOption(IntPtr.Zero, INTERNET_OPTION_PROXY, IntPtr.Zero, ref bufferLength);

            if ((Marshal.GetLastWin32Error() == ERROR_INSUFFICIENT_BUFFER) || iReturn )
            {

                // Allocating memory
                intptrStruct = Marshal.AllocCoTaskMem(bufferLength);
                if (intptrStruct != IntPtr.Zero)
                {
                    iReturn = InternetQueryOption(IntPtr.Zero, INTERNET_OPTION_PROXY, intptrStruct, ref bufferLength);
                    if (iReturn)
                    {
                        struct_IPI = (Struct_INTERNET_PROXY_INFO)Marshal.PtrToStructure(intptrStruct , typeof(Struct_INTERNET_PROXY_INFO));
                        Console.WriteLine("*****Proxy Server Config*****");
                        foreach(string proxy in Marshal.PtrToStringAnsi(struct_IPI.proxy).Split(' '))
                            Console.WriteLine(proxy);
                            Console.WriteLine("\n*****Proxy Server Bypass List *****");
                        foreach(string proxyBypass in Marshal.PtrToStringAnsi(struct_IPI.proxyBypass).Split(' '))
                            Console.WriteLine(proxyBypass);
                    }
                }
            }else{
                Console.WriteLine("ErrorCode={0}", Marshal.GetLastWin32Error());
            }

        }catch(Exception exp){

            Console.WriteLine( exp.ToString());
        }finally{
            if (intptrStruct != IntPtr.Zero)
            Marshal.FreeCoTaskMem(intptrStruct);
        }

Alternative Managed API:

Do you know one? Please contribute it!