Yes! I see it the same way; this is a very difficult config to look for out on the net, and one of the easier things to do is actually to use a hidden registry setting, see this url:
http://blog.raido.be/?p=426
Also the topic is discussed on stackoverflow:
http://stackoverflow.com/questions/1674119/what-key-in-windows-registry-disables-ie-connection-parameter-automatically-det
(Text below for preservation of the hidden AutoDetect DWORD)
Automatically detect settings:
This is enabled by default. When this setting is enabled, the Web Proxy Auto Discovery (WPAD) protocol is used. The proxy will be discovered by checking DHCP option XX or by issuing a DNS query to a WPAD A record in the current domain and top level domains. When an address is returned, that server will be queried to download a proxy autoconfiguration file containing the logic to determine the correct proxy to use for a given URL.
How to control Automatically Detect Settings?
Registry Key : HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\
DWORD AutoDetect = 0 or 1