Unwanted WiFi proxy issue
It seems to be a known "feature" if you use Kaspersky Internet Security:

http://forum.kaspersky.com/index.php?s=8ffe1c0b8684d5bd3d1353f0d074f528&amp;showtopic=260035

However, as you can see in the link above, it comes with a few issues. Disabling the 'web protection' component seems to do the trick.