http://bugs.winehq.org/show_bug.cgi?id=5625
--- Comment #9 from Dan Kegel dank@kegel.com 2008-04-02 08:16:46 --- Sadly, starting a new gnome session does not set the variable everywhere. It's still only set in the special Gnome Terminal launcher, not in launchers you create yourself (or that Wine creates), I think. We should probably verify that when one properly installs a wininet app, starting it from the Applications menu gets the proxy settings right.
I realize that wine's iexplore doesn't use wininet; we still have to fix it to obey the proxy settings.