Since the WebBrowser control is nothing more thanan instance of IE, you can get the proxy settings from the registry
You could do it this way (but since it manipulates the registry, it may require your app to have admin rights):
string key = "Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings";
string serverName = "";
string port = "";
string proxy = serverName + ":" + port;
RegistryKey RegKey = Registry.CurrentUser.OpenSubKey(key, true);
RegKey.SetValue("ProxyServer", proxy);
RegKey.SetValue("ProxyEnable", 1);
Of course, if you're not using IE, this will probably need to change.