In your group policy object that you've already configured the proxy settings within (I'm assuming you're using the Internet Explorer policy extension under "User Configuration", "Windows Settings", and "Internet Explorer"), add the following setting:
- User Configuration
- Administrative Templates
- Windows Components
- Internet Explorer
- Disable changing proxy settings - Enable
This will prevent the user from being able to change the proxy setting.
As an "Administrator" you might prefer not to have this setting enforced. If that's the case, add a "BUILTIN\Administrators - Deny Apply Group Policy" permission to the permissions on the GPO. Then members of the various Administrator groups (Domain Admins, Enterprise Admins, etc) nested within BUILTIN\Administrators won't have this setting enforce. (Handy if you want to logon with your admin. account and see if something acts differently not going thru the proxy.)
You could expand this to making a group, placing users into that group, and denying the group the "Apply Group Policy" right if you wanted to have a special group to put people in who would be allowed to "bypass" the proxy setting and restriction about changing it.
I saw your comment re: laptop computers.
Look into proxy auto-config scripts. You'll really like proxy auto-config scripts and how they work on your laptop computers.
I moved to proxy auto-config files for my school district Customer a couple of years ago as a result of administrators taking laptops off-site and trying to work on other networks that didn't need an HTTP proxy specified. It's worked like a charm, and is a nice cross-browser and cross-platform compatible solution.