This is an easy way to change proxy using two reg files.

One for setting a proxy and another for removing it.

Create an text file and save it with a reg extension e.g. proxy.reg

Copy the following text in that file, replacing the "myproxy" and port number "80" with your proxy's name and port.

Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
"ProxyEnable"=dword:00000001
"ProxyServer"="myproxy:80"
"ProxyOverride"=""

To undo these create a file text file and save it with a reg extension e.g. noproxy.reg

Copy the following text in that file.

Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
"ProxyEnable"=dword:00000000
"ProxyServer"=""
"ProxyOverride"=""