If you don't get an answer you might try just
running Regmon while changing the settings.
IE will generate thousands of Registry events(!)
but most of them will just be repeat nonsense.
You should be able to find the setting of interest
in the Regmon log.
> I'm looking to find a script or find out how to write one that will chnage
> the IE proxy settings from "No selected Proxy" to a "SPecific Proxy".
> Any help would be appreciated.