Ok. Assuming you don't want to change privileges for all users.. Try this:
1. Goto Start->Programs->Administrative Tools-> Active Directory Users and Groups
2. Right Click the top level domain, select New... Organizational Unit (OU). Call it students.
3. Go to the "Users" folder. Right click on the students username. Go to All Tasks.. Move... Move it to the new OU called students.
4. Right click on the OU called students. Select Properties.
5. Click on the Group Policy Tab.. Click on New. Name it Students Policy.
6. Click the policy, click the edit button.
7. Navigate to User Configuration/Administrative Templates/Windows Components/Internet Explorer. Double click the "Disable Changing Proxy Settings"
8. Click on the radio button "Enabled"
9. Hit Ok.
10. Thats it.. May take a few mintues to propogate, and the user would need to relogin for setting to take affect.
This policy tool is great for restricting virtually anything you want. I found it useful to just "browse" around to see what I could restrict/change, etc.
Now this will still allow every other user to change proxy settings except the student login. If you wish to have other users restricted from this, simply move their user account into the "Student" OU.
Hope this helps! Let me know if that works for you!