Generally speaking, no, remote applications cannot change your local system's proxy settings, unless the remote application has a client on your computer. For instance, if your company uses Group Policy or login scripts, those can write to the system's registry using code on your local computer.
If you don't have any programs known to change the system proxy installed (e.g. ProxySwitchers, ISA Firewall Client, TMG Firewall client, etc) then your best bet would be to download Process Monitor from SysInternals and set a filter for registry WRITEs where the path contains PROXYSERVER. This will show you all writes to the proxy server registry key, which will help you determine which process is changing the proxy behind your back.
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