There is also another method that should allow you to disable changes to Proxy settings

Open your registry (regedit) and find the key below.
User Key: [HKEY_CURRENT_USER\Software\Policies\Microsoft\Internet Explorer\Control Panel]
Create a new DWORD value (call it Proxy) and set the new value to equal "1" to enable the restriction or "0" to disable the restriction.
Restart Internet Explorer for the changes to take effect.