Archived from groups: microsoft.public.win2000.advanced_server (More info?)
On your domain controller, right-click the organizational unit that contains your domain users, and select Properties.
On the Group Policy tab, click Edit.
Expand User Configuration to set restrictions on a per-user basis.
Expand Windows Settings, and expand Internet Explorer Maintenance.
Select Connection, and double-click Proxy Settings.
Select the Enable Proxy Settings check box, add 0.0.0.0 to the HTTP entry, and click OK.
Expand Administrative Templates, and expand Windows Components.
Select Internet Explorer, and double-click Disable Changing Proxy Settings.
Select Enabled, and click OK.