> The last two parameters of the function are declare as out,

Parameters declared as OUT never need to be initialized when you call the 
function. To make this clear is the only (but good) reason to use OUT 
instead of VAR.

> and
> noticed that lplpszProxyHostName is a pointer of pointer, not a pointer as 
> usual.

It is a pointer to a PChar.

> It is a quite unclear situation, isn't it?

The only thing unclear to me is still how to release the memory. GlobalFree? 
Or is there some other memory manager involved, like with the 

Best wishes,

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