jayraykay,
Do you mean a 'toggler', i.e. to just switch between 'using' or 'not using' a proxy server?
Manually, this would be the difference between adding or removing the checkmark against 'Use a proxy server' in 'Internet Explorer > Tools > Options > Connections > LAN Settings > Proxy server'.
Any 'toggler' script would - at the very least - need to check the current setting. To be effective, it may also have to check for any running instances of IE, close them, change the setting then re-open an IE browser window for any changed settings to take effect.
There's also a difference between OS's, i.e. the default Win XP setting is 'per user' unless it's configured for IE settings to be global, i.e. for all users.
If any script was to be used against different versions of Windows then it would also need to check for the OS first.
Can you give more details?
Rick