There are a couple of GUI routes for setting the system web proxy for Windows 10 – the old control panel page (via Network and Internet – Network Options):
And the new settings style:
Note that the new style does not warn you that you may not be allowed to set the proxy – you can change the settings, but if you select another panel and then go back to Proxy your settings will be gone.
The reason for this is often that the system is configured to set the proxy at the machine level, not per-user. On domain systems this can be changed using Group policy. On standalone systems this can be changed using a registry key, located under
HKLM\Software\Policies\Microsoft\Windows\CurrentVersion\internet Settings
There is a DWORD key here called ProxySettingsPerUser (if not, create it). 0 means the proxy is set at machine level, 1 enables per-user settings.
If you change this to 1 then you should immediately be able to change the proxy settings.