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http://answers.microsoft.com/en-us/ie/forum/ie10-windows_7/lan-proxy-settings-greyed-out/8d0a6239-c211-4faa-a168-b68dc71bd563

Disable Changing Internet Explorer’s Proxy Settings:

Steps:

a. Type gpedit.msc in the Start menu’s search box and then press Enter.

b. Navigate to User Configuration,Administrative Templates,Windows Components, and then select Internet Explorer in the left column of the Group Policy editor.

c. Double-click Disable changing proxy settings in the Settings section of the Group Policy editor.

d. Select Enable and then click OK to save the changes.