To download the full version of Chrome instead of the .Net installer (in case you get the error message), use this link instead:
Or try the MSI version (Chrome Enterprise) - it's the same thing, just installed vi MSI instead of EXE.
In IE you can change it under Internet Options, but if an Administrator has blocked editing, you can change it with a regedit - save the following to a file with .reg as the extension and run it to merge.
Windows Registry Editor Version 5.00
Make a copy of a shortcut to Chrome, and under Properties, set the Target to:
"C:\Program Files (x86)\Google\Chrome\Application\chrome.exe" --proxy-server="http://proxy.myserver.com:80" --proxy-bypass-list="localhost"
Proxy settings are specific to this application so just change it under Options.