In Internet Explorer, go to the Tools menu and click "Internet Options".
Go to the Connections tab, and click on the "LAN settings" button.
Make sure the "Automatically detect settings" box is unchecked.
Make sure the "Use automatic configuration script" box is unchecked.
Check the box "Use a proxy server for your LAN".
Enter your Burp Proxy listener address in the "Address" field (by default, 127.0.0.1). Enter your Burp Proxy listener port in the "Port" field (by default, 8080).
Make sure the "Bypass proxy server for local addresses" box is unchecked.
Then click on the "Advanced" button.
Make sure the "Use the same proxy server for all protocols" box is checked.
Delete anything that appears in the "Exceptions" field.
Then click "OK" to close all of the options dialogs.