You can't use the _T() macro to convert data at runtime.  It only works on char/string literals at compile-time.
The best solution is to just use a std::wstring instead.  You can pass its data directly to RegSetValueExW(), there is no need to copy it into a _TCHAR[] buffer at all, eg:
wstring par = L"1234.32.23";   
HKEY ProxyServerKey;
if (RegCreateKeyExW(HKEY_CURRENT_USER, L"Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings", 0, NULL, REG_OPTION_NON_VOLATILE, KEY_WRITE, NULL, &ProxyServerKey, NULL) == ERROR_SUCCESS)
{
    RegSetValueExW(ProxyServerKey, L"ProxyServer", 0, REG_SZ, (const BYTE*)par.c_str(), (par.size()+1) * sizeof(wchar_t));
    RegCloseKey(ProxyServerKey);
    SendNotifyMessageW(HWND_BROADCAST, WM_SETTINGCHANGE, 0, 0);
}
Otherwise, if you need to keep using std::string for whatever reason, but want to use RegSetValueExW(), then you will have to convert the char data to wchar_t at runtime using MultiByteToWideChar() or equivalent, eg:
string par = "1234.32.23";   
wstring wpar;
int len = MultiByteToWideChar(CP_ACP, 0, par.c_str(), par.size(), NULL, 0);
wpar.resize(len);
MultiByteToWideChar(CP_ACP, 0, par.c_str(), par.size(), &wpar[0], len);
HKEY ProxyServerKey;
if (RegCreateKeyExW(HKEY_CURRENT_USER, L"Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings", 0, NULL, REG_OPTION_NON_VOLATILE, KEY_WRITE, NULL, &ProxyServerKey, NULL) == ERROR_SUCCESS)
{
    RegSetValueExW(ProxyServerKey, L"ProxyServer", 0, REG_SZ, (const BYTE*)wpar.c_str(), (wpar.size()+1) * sizeof(wchar_t));
    RegCloseKey(ProxyServerKey);
    SendNotifyMessageW(HWND_BROADCAST, WM_SETTINGCHANGE, 0, 0);
}
Otherwise, just use RegSetValueExA() instead, and let it convert from char to wchar_t internally for you, eg:
string par = "1234.32.23";   
HKEY ProxyServerKey;
if (RegCreateKeyExA(HKEY_CURRENT_USER, "Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings", 0, NULL, REG_OPTION_NON_VOLATILE, KEY_WRITE, NULL, &ProxyServerKey, NULL) == ERROR_SUCCESS)
{
    RegSetValueExA(ProxyServerKey, "ProxyServer", 0, REG_SZ, (const BYTE*)par.c_str(), par.size()+1);
    RegCloseKey(ProxyServerKey);
    SendNotifyMessageW(HWND_BROADCAST, WM_SETTINGCHANGE, 0, 0);
}