c:\>http_proxy=<your proxy setting>
But if you type
c:\>env | grep http_proxy
you get nothing.
I am pretty surprised here but no clue found on google. Fortunately, there is one way around. put the following line in the .wgetrc file in your home directory:
PS: the reason I need everything be put into command line script is I use a script to switch my work environment in corporate (where proxy effective) and home (no proxy at all).