Re-enabling proxy configuration via Registry
For some reason, a customer laptop of mine not only locked down the proxy configuration, but didn't set anything! That made it kind of difficult to get work done, given that I was behind a firewall -- Firefox sorta worked, and Chrome and IE didn't work at all.
I fixed this by changing two registry settings. They were found under this location:
Software\Policies\Microsoft\Internet Explorer\Control Panel
However, unlike what I expected, they weren't just under HKEY-LOCAL-MACHINE or HKEY-CURRENT-USER. Instead, they were specifically under some key for my user.
I search for key "Connection Settings", and when I found it changed it to 0, which gave me back part of the Internet Options dialog. Then, in the same folder, I changed Proxy from 1 to 0. This allowed me to set the proxy.