in reply to Scripting Proxy Settings in IE and Firefox
Or if you really want to get fancy you can set your browser to use proxy autoconfiguration to some local file that you can generate/edit from a script. Proxy autoconfiguration allows you to define a policy for whether to use a proxy or not for specific requests, so for instance you can have a browser use a proxy for everything except http://www.perlmonks.org.
More info on proxy autoconfiguration
Probably overkill and not really helpful for you, but couldn't resist the urge of mentioning this...