if you are using logon scripts, add this line to the script
@ regedit.exe /s \\server\netlogon\proxy.reg
where server is the domain controller, and where a reg file is available.
You will obviously need to set up the registry edit file, which starts something like this (i use this to set a proxy account in ie because access is restricted to the internet options for mostof my users)
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
"User Agent"="Mozilla/4.0 (compatible; MSIE 5.0; Win32)"
I can send you a .reg file to amend if you wish