1 - Select this URL and and copy it to the clipboard by pressing Ctrl+C:

http://127.0.0.1:2400/AdKiller.pac

2 - Select 'Internet Options...' from the 'View' menu.

3 - Click on the 'Connection' tab, followed by the 'Configure...' button in the 'Automatic configuration' section.

4 - Paste the URL into the text entry box in the 'Automatic Configuration' window.

Click OK to dismiss the windows, and the setup is complete.