Several of my clients have asked for a way to have browsers automatically pick up proxy settings if the PC (usually a laptop) is on the local LAN, but not use a proxy server if the PC is not on the local LAN. For instance, moving a laptop from a home network with no proxy server to the office LAN, with a BorderManager server.
The browser can be configured with a simple PROXY.PAC file. The PROXY.PAC file can be quite complex, providing for load-balancing, fault tolerance, or other uses. I would be happy to produce a custom proxy.pac file for you (as a paid consulting project). The examples here are pretty basic.
I have tested this PROXY.PAC file on Netscape, Mozilla, Firefox, Opera and Internet Explorer on Windows XP Professional and Windows 2000 Professional.
Note: This is not a method for remotely or permanently setting the proxy settings, which can be done in a number of ways (ZENworks, login script, proxy configuration files from Netscape or Microsoft, etc.) I will assume that you will visit the workstations and enter the proxy settings as necessary to point to the PROXY.PAC file. If the PC is to be moved off the local LAN, you will also need to copy the file to the PC.