See in the IIS Security newsgroup no less:

Configuring Internet Explorer to use proxy server has never been easier:
If you want to configure it from command line, look at: 

If you take a look at the webpage, you are offered the download of an .exe (without source) that promises to make configuring your proxy server easy, via a command line.

I suppose you could download a .exe from an unknown site on the 'net, and hope that it doesn't screw your system, open a backdoor, or otherwise compromise your data. But safe-computing would suggest that you don't do that.

For those that do want a better/easier way to quickly configure your IE proxy settings, all you need to do is change the following reg keys under HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings

ProxyEnable (Reg_DWord) = 0 | 1 (proxy server enabled/disabled)
ProxyServer (Reg_SZ) = URL of proxy Server
ProxyOverride (Reg_SZ) = comma delimited list of URLs that IE should bypass the proxy. The value <local> corresponds to the "Bypass proxy server for local addresses" checkbox in IE.

Automating this is relatively easy. If you want to use a script, then WScript offers the RegWrite method to write values to the registry. Since these values are being written to the current user's hive, permissions problems generally don't occur.