I have to switch my proxy settings daily, depending upon being at work or home. I created two batch files to enable/disable the same.

Note that this applies to the global aka Internet Explorer proxy settings.

ProxyEnable.bat

REG ADD "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings" /v AutoConfigURL /d "http://www.server.name/proxy" /t REG_SZ /f

ProxyDisable.bat

REG DELETE "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings" /v AutoConfigURL /f