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Strange behaviour when setting proxy?

Is it possible to set proxy information permanently? Does R have a 
startup file that it will execute which will do things like proxy 
setting or changing working directory? (Sorry if this is a very newbie 
question, but I am a very newbie...)

It would be nice to add proxy settings to the GUI, as it took me a long 
time to track down the information on how to do it from the 
documentation, and it's a big stumbling block in getting R set up on OS X.

However, I also have this odd behaviour on 2.0.1 running on 10.3.6

I accidentally issued the command

Sys.putenv("http_proxy"="http://proxy.rcsi.internal.ie")

Realising my error (a period instead of an underscore) I issued the 
command correctly

Sys.putenv("http_proxy"="http://proxy.rcsi-internal.ie")

However, R persisted in trying the first proxy. Experimenting with this, 
it seems that R allows me to put a definition for the proxy just once, 
and the only way of recovering from an error is to exit R and restart.

Is this a bug or a feature?