Now I really hate network settings, so I can't guarantee it works.
Push the Browser Settings in the Login Script (for Internet Explorer)
Internet Explorer stores proxy settings in the registry. This makes it particularly easy to update, using a variety of methods. Even if your users do not normally use Internet Explorer as their usual browser, you will want to configure the proxy settings because many other applications key off proxy settings in Internet Explorer.
In this method, you determine the proper registry key for your version of IE, export the settings to a .REG file, and then use REGEDIT in the login script to push the settings to the PC.
To create the SETPXY.REG file, open notepad & type in as follows:
REGEDIT4 (or whatever version of REGEDIT is on your PC, such as REGEDT32)
"ProxyServer"="<your proxy IP address>:8080"
Change to the private IP address of your HTTP Proxy, and to 127.0.0.1 or any combination of URL's for which you want to bypass the proxy. (I advise you to experiment with this for a while to get the syntax done correctly).
Check this Knowledge Base post for more info on the registry part.