By default, your C# code will use the system proxy set in your IE connection settings.
If you want to be explicit, you can do it via config under System.net:
<defaultProxy useDefaultCredentials="true">
<proxy usesystemdefault="true" proxyaddress="[proxy address]" bypassonlocal="true" />
</defaultProxy>
Programmatically, you can set the proxy:
http://msdn.microsoft.com/en-us/library/system.net.webproxy.aspx
WebProxy proxyObject = new WebProxy("http://proxyserver:80/",true);
WebRequest req = WebRequest.Create("http://www.contoso.com");
req.Proxy = proxyObject;
EDIT:
For web browser control, try this SO post: (disclaimer - haven't tried that)
How to set a proxy for Webbrowser Control without effecting the SYSTEM/IE proxy