We use a PROXY so some of our USERS only have limited access to certain sites. One of the users has figured out you can go in there and just take out the proxy settings and go anywhere on the internet. Is there anyway to lock this down so the user can't change their proxy setting that we have in there for them? Thanks!If you install Spybot S&D, you can enable an option that prevents users from accessing Tools -> Internet Options.

However, they can still simply access the Internet Options by going to Start -> Settings -> Control Panel.

You may also wish to look into a program such as The Proxomitron.Do you have firewall??? Because if you do you should be able to BLOCK all traffic on port 80 and 8080 (common internet ports) that doesn't come from the proxy server. There for if a user CHANGES the proxy settings they will not be able to GET out to the internet.

Or try windows group polices to lock users out of the config pages of IE and also other windows settings. Depending on how your network is set up this can be very easy to implement.

This site may be of some help.
http://www.microsoft.com/windows2000/techinfo/howitworks/management/grouppolwp.asp