Here are some registry edits including the one that you are looking for:
Disable windows update
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer\NoWindowsUpdate
(DWORD =1)
Force LAN logon Desktop only
HKEY_LOCAL_MACHINE\Network\Logon\MustBeValidated
(DWORD =1)
Disable changing proxy
HKEY_Current_User\Software\Policies\Microsoft\Internet Explorer\Control Panel\Proxy
(DWORD=1)
Disable changing Homepage
HKEY_Current_User\Software\Policies\Microsoft\Internet Explorer\Control Panel\HomePage
(DWORD=1)
To re-enable any of the above, change the DWORD value to 0 (zero).
I use these all of the time on Win9x workstations!