MingW (ver 3.7) doesn't have the "ieproxy.h" header. But it doesn't seem to
require it either since most types and prototypes are in <wininet.h>.
I patched proxy.c to make it build:

--- CVS-latest\proxy.c  Mon Dec 12 18:00:00 2005
+++ proxy.c     Mon Feb 20 18:05:32 2006
@@ -39,7 +39,7 @@
#include "base64.h"
#include "ntlm.h"

-#ifdef WIN32
+#if defined(WIN32) && !defined(__MINGW32__)
#include "ieproxy.h"
#endif

---------------

So if MingW doesn't need it, why should it be needed for MSVC.

--gv

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