Not sure if this is your answer to your problem came by the info on Microsoft site.
In Internet Explorer 11, the WinINET team has disabled WinINET's support for
file:// based scripts to promote interoperability across network stacks.
Corporations are advised to instead host their proxy configuration scripts on
a HTTP or HTTPS server. As a temporary workaround, this block can be removed by
setting the following registry key:
Key: HKLM\SOFTWARE\Policies\Microsoft\Windows\CurrentVe rsion\Internet Settings\
Value: EnableLegacyAutoProxyFeatures
Type: REG_DWORD
Data: 1
Hope it helps.
Cheers