Using Ruby Gems Behind Windows Proxy

I've been trying to get ruby gems installing on a Windows XP from behind our company proxy and finally got it to work using the HTTP_PROXY environment variable. (Why does configuration seem more like alchemy than science?) Although I usually have to supply a domain name, for some reason it was OK without it. YMMV.

SET HTTP_PROXY=http://myusername:mypassword@proxyname:80
gem install amazon-ecs
Successfully installed amazon-ecs-0.5.4
1 gem installed
Installing ri documentation for amazon-ecs-0.5.4...
Installing RDoc documentation for amazon-ecs-0.5.4...