What Joel said is true. In addition, in SL3 you can use the Silverlight network infrastructure instead of the browser. You switch to it using
HttpWebRequest.RegisterPrefix("http://", WebRequestCreator.ClientHttp);
Be careful, because in this case, instead of the browser settings, the OS proxy settings are used.
Regarding the mode outside the browser, I just did a simple test:
var req = HttpWebRequest.Create("http://www.google.com"); if (req.CreatorInstance == WebRequestCreator.BrowserHttp) MessageBox.Show("Browser"); else MessageBox.Show("Client");
and found that the browser stack is also used by default in OOB. They probably load some IE component, so it should also use the IE proxy settings.
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