It seems that web browser component (Windows 7, IE11) can't browse at all in case it's specified by a user in settings to use socks proxy. Internet Explorer works, my application based on web browser component can't browse any site - I got network error. Sample application from MSDN acts the same way as my app. Any suggestions?
SOCKS4 works for me. Form your app, check if the correct proxy setting is there, with UrlMkGetSessionOption/INTERNET_OPTION_PROXY.
That said, most likely you're dealing with some firewall/antivirus software which is configured to allow SOCKS requests from a certain white list of approved apps (including iexplore.exe). Your app is not on the list.