Navigate the the location below in your registry and make the corresponding change.

Create or edit the existing DWORD value (string value for Windows 98) named "EnableProxy" and set it to "1" to enable the proxy service. 

Restart Windows. 

Key:[HKEY_LOCAL_MACHINE\System\CurrentControlSet\Services\VxD\MSTCP]
Value Name: EnableProxy
Data Type: REG_DWORD
Data:(0 = disabled, 1 = enabled)