I've just completed my own solution, which is a refinement of terrorvis' solution.
I use .bat files to call import .reg files to switch the proxy on or off as required. It doesn't alter the other settings, like proxy address, because they're set by group policy.
The user just click on the shortcut they require and it sets the proxy and runs IE.
batch file example:-
(The @start command suggested to run IE wouldn't work for me).
@regedit.exe /s "c:\proxy_script\proxy_off.reg"
registry file example:-
I've created an msi, which is attached.
Windows Registry Editor Version 5.00