I have two ways out to the internet. I want iTunes to use a different path than my browser (for corporate testing purposes) and the product does not seem to allow you to set a separate path. There should be proxy preference settings box 'Use Internet Options from Browser(default)' or 'Set them here...'. Anyone from Apple got a view?
So it seems, unless they are browsers, IM, Media players where the settings can be changed in the app. e.g. Windows Media Player>Tools>Options>Network>HTTP>Configure>Use the following proxy server.
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iTunes Proxy Setting
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