In Windows, almost everything inherits the "Internet Explorer" proxy settings. I was somewhat surprised when the Linux Subsystem for Windows (beta) did not.

For most Linux applications, you can set a proxy by setting the environment variable HTTP_PROXY, e.g.

$ HTTP_PROXY=http://my.proxy.server:8080

To set up persistent proxy server settings for apt-get, you'll similarly need to do it the Linux way. This is done by creating a file named /etc/apt/apt.conf and adding the following line:

Acquire::http::Proxy "http://my.proxy.server:8080";

You can also use the configuration to set the User-Agent header, by adding the following line:

Acquire::http::User-Agent "My Custom User Agent";

Or, to send no user-agent:

Acquire::http::User-Agent "";