Fixed! 
Code:
dim oShell
set oShell = Wscript.CreateObject("Wscript.Shell")
if msgbox("Do you want to turn the proxy on? (Yes for School and No for Home)", vbQuestion or vbYesNo) = vbYes then
oShell.RegWrite "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyEnable", 1, "REG_DWORD"
oShell.RegWrite "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer", "yourproxy and port", "REG_SZ"
oShell.RegWrite "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyOverride", "yourproxy*.*", "REG_SZ"
else
oShell.RegWrite "HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyEnable", 0, "REG_DWORD"
end if
Set oShell = Nothing