Please read the Notes at the top of each of the scripts before you run them. Set Windows IE proxy with a cmd file, or set Windows IE proxy globally by changing the "DefaultConnectionSettings" registry key as well as "ProxySettingsPerUser" and "Proxy" for GPO settings. PLEASE SAVE A COPY OF YOUR REGISTRY JUST IN CASE YOU NEED TO GO BACK!

set-proxy-for-whole-machine.cmd

:: NOTE: If you don't want to make proxy settings for the whole machine,
:: find the line in this script that starts with "reg add" and change
:: "HKLM" to "HKCU" so that it only affects the current user (or change it
:: to reflect the specific hive that you want to change)

:: Supported Characters in proxy server address (if you need more, consult
:: an ascii table and make a new "if" statement for the character you need,
:: but these should suffice):
:: * - . / : ; = ?  @ ~ < >
:: All Numbers
:: All Uppercase Letters
:: All Lowercase Letters

@echo off
:: This causes variables within this script to be expanded at execution time
:: rather than parse time.
setlocal ENABLEDELAYEDEXPANSION

:: Start at main
goto :main

:: Called as "string2hex returnVal string"
:: Returns a Comma separated list of hex digits in the global variable "ret"
:: and the length of the input string as "pos"
:string2hex
  set pos=0
  set str=%~1
  set ret=

  :: Loop starts here. We will come back to this until the string is done
  :NextChar
  set char=!str:~%pos%,1!
  :: set char=%str%

  :: if the character doesn't exist, exit out because we are done parsing the
  :: string
  if "%char%" == "" goto :eof

  :: Otherwise check to see what the char is, and add the corresponding hex
  :: code to the return variable of this subroutine
  if "%char%" == "*" (
    set "ret=!ret!2a"
    :: If we find the character, break out of the if statements
    goto :breakIf
  )
  if "%char%" == "-" (
    set "ret=!ret!2d"
    goto :breakIf
  )
  if "%char%" == "." (
    set "ret=!ret!2e"
    goto :breakIf
  )
  if "%char%" == "/" (
    set "ret=!ret!2f"
    goto :breakIf
  )
  if "%char%" == "0" (
    set "ret=!ret!30"
    goto :breakIf
  )
  if "%char%" == "1" (
    set "ret=!ret!31"
    goto :breakIf
  )
  if "%char%" == "2" (
    set "ret=!ret!32"
    goto :breakIf
  )
  if "%char%" == "3" (
    set "ret=!ret!33"
    goto :breakIf
  )
  if "%char%" == "4" (
    set "ret=!ret!34"
    goto :breakIf
  )
  if "%char%" == "5" (
    set "ret=!ret!35"
    goto :breakIf
  )
  if "%char%" == "6" (
    set "ret=!ret!36"
    goto :breakIf
  )
  if "%char%" == "7" (
    set "ret=!ret!37"
    goto :breakIf
  )
  if "%char%" == "8" (
    set "ret=!ret!38"
    goto :breakIf
  )
  if "%char%" == "9" (
    set "ret=!ret!39"
    goto :breakIf
  )
  if "%char%" == ":" (
    set "ret=!ret!3a"
    goto :breakIf
  )
  if "%char%" == ";" (
    set "ret=!ret!3b"
    goto :breakIf
  )
  if "%char%" == "<" (
    set "ret=!ret!3c"
    goto :breakIf
  )
  if "%char%" == "=" (
    set "ret=!ret!3d"
    goto :breakIf
  )
  if "%char%" == ">" (
    set "ret=!ret!3e"
    goto :breakIf
  )
  if "%char%" == "?" (
    set "ret=!ret!3f"
    goto :breakIf
  )
  if "%char%" == "@" (
    set "ret=!ret!40"
    goto :breakIf
  )
  if "%char%" == "A" (
    set "ret=!ret!41"
    goto :breakIf
  )
  if "%char%" == "B" (
    set "ret=!ret!42"
    goto :breakIf
  )
  if "%char%" == "C" (
    set "ret=!ret!43"
    goto :breakIf
  )
  if "%char%" == "D" (
    set "ret=!ret!44"
    goto :breakIf
  )
  if "%char%" == "E" (
    set "ret=!ret!45"
    goto :breakIf
  )
  if "%char%" == "F" (
    set "ret=!ret!46"
    goto :breakIf
  )
  if "%char%" == "G" (
    set "ret=!ret!47"
    goto :breakIf
  )
  if "%char%" == "H" (
    set "ret=!ret!48"
    goto :breakIf
  )
  if "%char%" == "I" (
    set "ret=!ret!49"
    goto :breakIf
  )
  if "%char%" == "J" (
    set "ret=!ret!4a"
    goto :breakIf
  )
  if "%char%" == "K" (
    set "ret=!ret!4b"
    goto :breakIf
  )
  if "%char%" == "L" (
    set "ret=!ret!4c"
    goto :breakIf
  )
  if "%char%" == "M" (
    set "ret=!ret!4d"
    goto :breakIf
  )
  if "%char%" == "N" (
    set "ret=!ret!4e"
    goto :breakIf
  )
  if "%char%" == "O" (
    set "ret=!ret!4f"
    goto :breakIf
  )
  if "%char%" == "P" (
    set "ret=!ret!50"
    goto :breakIf
  )
  if "%char%" == "Q" (
    set "ret=!ret!51"
    goto :breakIf
  )
  if "%char%" == "R" (
    set "ret=!ret!52"
    goto :breakIf
  )
  if "%char%" == "S" (
    set "ret=!ret!53"
    goto :breakIf
  )
  if "%char%" == "T" (
    set "ret=!ret!54"
    goto :breakIf
  )
  if "%char%" == "U" (
    set "ret=!ret!55"
    goto :breakIf
  )
  if "%char%" == "V" (
    set "ret=!ret!56"
    goto :breakIf
  )
  if "%char%" == "W" (
    set "ret=!ret!57"
    goto :breakIf
  )
  if "%char%" == "X" (
    set "ret=!ret!58"
    goto :breakIf
  )
  if "%char%" == "Y" (
    set "ret=!ret!59"
    goto :breakIf
  )
  if "%char%" == "Z" (
    set "ret=!ret!5a"
    goto :breakIf
  )
  if "%char%" == "a" (
    set "ret=!ret!61"
    goto :breakIf
  )
  if "%char%" == "b" (
    set "ret=!ret!62"
    goto :breakIf
  )
  if "%char%" == "c" (
    set "ret=!ret!63"
    goto :breakIf
  )
  if "%char%" == "d" (
    set "ret=!ret!64"
    goto :breakIf
  )
  if "%char%" == "e" (
    set "ret=!ret!65"
    goto :breakIf
  )
  if "%char%" == "f" (
    set "ret=!ret!66"
    goto :breakIf
  )
  if "%char%" == "g" (
    set "ret=!ret!67"
    goto :breakIf
  )
  if "%char%" == "h" (
    set "ret=!ret!68"
    goto :breakIf
  )
  if "%char%" == "i" (
    set "ret=!ret!69"
    goto :breakIf
  )
  if "%char%" == "j" (
    set "ret=!ret!6a"
    goto :breakIf
  )
  if "%char%" == "k" (
    set "ret=!ret!6b"
    goto :breakIf
  )
  if "%char%" == "l" (
    set "ret=!ret!6c"
    goto :breakIf
  )
  if "%char%" == "m" (
    set "ret=!ret!6d"
    goto :breakIf
  )
  if "%char%" == "n" (
    set "ret=!ret!6e"
    goto :breakIf
  )
  if "%char%" == "o" (
    set "ret=!ret!6f"
    goto :breakIf
  )
  if "%char%" == "p" (
    set "ret=!ret!70"
    goto :breakIf
  )
  if "%char%" == "q" (
    set "ret=!ret!71"
    goto :breakIf
  )
  if "%char%" == "r" (
    set "ret=!ret!72"
    goto :breakIf
  )
  if "%char%" == "s" (
    set "ret=!ret!73"
    goto :breakIf
  )
  if "%char%" == "t" (
    set "ret=!ret!74"
    goto :breakIf
  )
  if "%char%" == "u" (
    set "ret=!ret!75"
    goto :breakIf
  )
  if "%char%" == "v" (
    set "ret=!ret!76"
    goto :breakIf
  )
  if "%char%" == "w" (
    set "ret=!ret!77"
    goto :breakIf
  )
  if "%char%" == "x" (
    set "ret=!ret!78"
    goto :breakIf
  )
  if "%char%" == "y" (
    set "ret=!ret!79"
    goto :breakIf
  )
  if "%char%" == "z" (
    set "ret=!ret!7a"
    goto :breakIf
  )
  if "%char%" == "~" (
    set "ret=!ret!7e"
    goto :breakIf
  )
  :: if a character is not found exit out (TODO: add some error catching here,
  :: since we should never reach the end of this if statement)
  goto :eof
:: We come straight here if a character is found. We will increment the index
:: counter, and loop back to check the next character in the string
:breakIf
  set /a pos=pos+1
  goto NextChar
goto :eof


:: Convert Decimal Values to Hex
:dec2hex
  :: This variable will be used to lookup the correct hex digit
  set "hex=0123456789ABCDEF"

  :: Set "high" to be the most significant digit of the hex byte
  :: Set "low" to be the least significant digit of the hex byte
  set /a high=%~1 / 16
  set /a low=%~1 %% 16

  :: Set a global variable to be the combination of the most and least
  :: significant digits of the hex byte (this is also the step where we
  :: lookup the correct hex digit)
  set poshex=!hex:~%high%,1!!hex:~%low%,1!
goto :eof


:: Start of main
:main
  set /p proxyserver=Enter the Proxy Server: 
  set /p proxyport=Enter the Proxy Port: 
  set /p proxyexceptions=Enter the Proxy Exceptions Separated by semicolons (surround with double quotes): 

  :: Get the proxy name as hex along with the length of the proxy name
  :: in hex and set variables for them so that we can reference them easily
  set proxyname=%proxyserver%:%proxyport%
  call :string2hex %proxyname%
  set proxynamehex=%ret%
  call :dec2hex %pos%
  set proxynamelenhex=%poshex%


  :: Get the proxy exceptions in hex along with the length of the proxy
  :: exception length in hex and set variables for them so that we can
  :: reference them easily
  call :string2hex %proxyexceptions%
  set proxyexceptionshex=%ret%
  call :dec2hex %pos%
  set proxyexceptionslenhex=%poshex%


  :: Filler Data that needs to be there
  ::   * the 46 is just always there
  ::   * the 16 is a counter that would normally increment every time the value
  ::     is changed so there is no need to change it here
  ::   * the 03 is a flag that determines whether the proxy will be on or not,
  ::     and if automatically detect settings is on or off (0x03 is 0b00000011.
  ::     From left to right, the first 4 0s mean nothing and are just always 0.
  ::     The next bit is a 1 if the "Automatically Detect Settings" Checkbox is
  ::     checked in interet options. The next bit is a 1 if a script URL is set
  ::     in internet options. The next bit is a 1 if the manual proxy is
  ::     enabled, and the last bit is always a 1. So this setting just has the
  ::     manual proxy on)
  ::   * Ther rest of the 0s are to fill space between the actual useful
  ::     information that was gathered earlier
  set data1=460000001600000003000000
  set data2=000000
  set data3=000000
  set data4=000000000000000000000000000000000000000000000000000000000000000000000000

  :: This is where we combine the filler data above with the useful information
  :: ie: data1 + the length of the proxy name and port + data2 +
  ::     proxy name and port + proxy exception list length + data3 +
  ::     proxy exception list + data4 
  set data=%data1%%proxynamelenhex%%data2%%proxynamehex%%proxyexceptionslenhex%%data3%%proxyexceptionshex%%data4%

  reg add "HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Connections" /v "DefaultConnectionSettings" /t "REG_BINARY" /d "%data%" /f

  pause

  endlocal

toggle-making-proxy-settings-global-and-prevent-users-from-changing-proxy-settings-for-whole-machine.cmd

:: This script toggles the state of these two registry settings.
:: Running it once will grey out the options and set the proxy machine
:: wide, running it again will revert it back, etc.

:: NOTE: You only need these settings if you are wanting to set the proxy
:: globally on your machine for all users, or you want to block users
:: from being able to change the proxy settings
:: Alternatively, set these GPOs in gpedit.msc if you have it

:: NOTE: Setting these registry keys directly will not be reflected in
:: gpedit.msc so far as I can tell. From what I have personally found,
:: gpedit.msc does not seem to actually look at the registry to see what
:: the state of the GPOs are, therefore, even though you have changed the
:: registry keys, it will NOT show as enabled or disabled in gpedit.msc.
:: The setting will be whatever it was when you last set it.

:: NOTE: I found these keys and the locations by looking at the ADMX template
:: files. Inside the inetres.admx file, it shows that these are the keys that
:: are modified for those specific GPOs.

@echo off

reg query "HKLM\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings" /v "ProxySettingsPerUser" | find "0x0" > nul
:: Currently Set to (1) Per User, change to Per Machine
if %errorlevel% == 1 (
  echo Setting Proxy Settings to Machine Wide
  reg add "HKLM\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings" /v "ProxySettingsPerUser" /t "REG_DWORD" /d "0" /f > null
  goto :endproxysettingsperuser
)
:: Set to (0) Per Machine, change to Per User
if %errorlevel% == 0 (
  echo Setting Proxy Settings to User Wide
  reg add "HKLM\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings" /v "ProxySettingsPerUser" /t "REG_DWORD" /d "1" /f > null
  goto :endproxysettingsperuser
)
:endproxysettingsperuser


reg query "HKLM\Software\Policies\Microsoft\Internet Explorer\Control Panel" /v "Proxy" | find "0x0" > nul
:: Currently Set to (1) Greying the boxes, change to not greying the boxes
if %errorlevel% == 1 (
  echo Setting Proxy Settings to NOT be greyed out
  reg add "HKLM\Software\Policies\Microsoft\Internet Explorer\Control Panel" /v "Proxy" /t "REG_DWORD" /d "0" /f > null
  goto :endproxy
)
:: Currently Set to (0) not be greyed, change to greyed
if %errorlevel% == 0 (
  echo Setting Proxy Settings to be greyed out
  reg add "HKLM\Software\Policies\Microsoft\Internet Explorer\Control Panel" /v "Proxy" /t "REG_DWORD" /d "1" /f > null
  goto :endproxy
)
:endproxy


echo DONE!
pause

I am not great with batch files, so if anyone has a better way to do something I would love to see it :) (For example, the massive amount of if statements I have in order to get the Hex value for each character. I only did this because I have been unable to find a way in batch to do this, but I would love to be shown otherwise)

struct sBinaryNetworkSettings {
DWORD dwVersion; //always 0x46
DWORD dwCounter; //0xD3(seems to increment every time you change the proxy settings for the vpn)
DWORD state; //0x3 for enabled, 0x1 for disabled, 0x9 to automatically detect settings.
DWORD dwProxyStrLen; //string length of the proxy setting(no null delim included)
//char proxy_str[dwProxyStrLen];
DWORD dwProxyBypassStrLen; //proxy bypass list string length no delim
//char proxy_bypass_list_str[dwProxyBypassStrLen];
//BYTE unk2[36]; //bunch of zeros
};