The thing about the proxy settings is that they are connection
specific. A dialup connection won't use the proxy settings from a LAN (or
any other) connection.
So the client can locally configure the settings in the connection
properties from Internet options. If you want to force your users to use a
specific set of properties, you can use Connection Manager (CMAK) on the
server to configure the connection properties. These will then be downloaded
to the client at connection time.
