
However, if that does not work then you have to manually set the proxy settings.
Sometimes I need to download files from the Internet when I remotely log in to Windows servers. By default Internet connectivity is disabled and there is no proxy settings. I find it a chore to set the proxy every time.
So here's a WSH vbscript you can use to automatically set the proxy settings for Internet Explorer:
1. Create a file with .vbs extension using your favorite text editor. Example: set_proxy.vbs
2. Copy these contents and save the file
' Change proxy-server.company.com:8080 to the correct proxy server name and port
' Change *.company.com;
set WSHShell = WScript.CreateObject("WScript.Shell")
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer", "proxy-server.company.com:8080"
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyEnable", 1, "REG_DWORD"
WSHShell.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyOverride", "*.company.com;
3. Execute the WSH vbscript file, and you should see this

If you click on "Advanced" you will see the list of sites which will not be accessed through the proxy.
For more information, check out these links:
http://www.pctools.com/guides/registry/detail/292/
http://technet.microsoft.com/en-us/library/cc736412%28WS.10%29.aspx
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