Different proxy for different threads

Good day,

I'm trying to use different proxies for different threads (a proxy per
thread), but it doesn't seem to work.
According to Microsoft KB http://support.microsoft.com/kb/226473 :
"Note INTERNET_OPTION_PROXY does not permanently change the settings.
It does this for the current process only when a NULL handle is used."

And it seems to work for different processes (I'm using
InternetSetOption with C# like this:
[code]
public void ChangeIEProxy(string strProxy)
{
const int INTERNET_OPTION_PROXY = 38;
const int INTERNET_OPEN_TYPE_PROXY = 3;

Struct_INTERNET_PROXY_INFO struct_IPI;

// Filling in structure
struct_IPI.dwAccessType = INTERNET_OPEN_TYPE_PROXY;
struct_IPI.proxy = Marshal.StringToHGlobalAnsi(strProxy);
struct_IPI.proxyBypass =
Marshal.StringToHGlobalAnsi("local");

// Allocating memory
IntPtr intptrStruct =
Marshal.AllocCoTaskMem(Marshal.SizeOf(struct_IPI));

// Converting structure to IntPtr
Marshal.StructureToPtr(struct_IPI, intptrStruct, true);

bool iReturn = InternetSetOption(IntPtr.Zero,
INTERNET_OPTION_PROXY, intptrStruct, Marshal.SizeOf(struct_IPI));
}
[/code]

My question: how can I use multiple proxies with multiple threads?

Thank you.
Mures
.