To setup the proxy automatically use the WPAD, the link includes links to pages about how to setup the WPAD. Most browser will use this to decide which proxy to use.
Even if you setup WPAD, and group policies to control IE you still cannot completely force a proxy setting onto all browsers. A user could easily use a PortableApps browser or a livecd which you will have no control over. If you really need to lock things down you will probably need to block all http/https traffic from leaving your network from any system other then the proxy.
If your users are really sophisticated you may need to block all outgoing traffic except what you explicitly permit. Even this will not be a 100% effective block. There are far too many people working on ways to make sure the internet is not censored.
It may be easier to simply use WPAD and group policies to set a proxy wherever possible, do some basic firewalling to block the obvious proxy traffic, and just monitor for anything else and deal with it at layer 8.
I do suggest that if you try and filter internet access to do your best to filter the least amount possible. Trying to solve personnel with technology problems tends to cause as many layer 8 problems as it fixes.