Sorry to hear about the trouble you're having!
If the Internet Explorer proxy settings are not changing properly, there are two possibilities:
1> You have some other software that is interfering
2> Your Windows configuration is corrupt.
For #1, you may have some application (e.g. a security or VPN package) that interferes with the proper setting of the proxy, possibly by making registry keys like "ProxyServer" read-only. To workaround that, you would need to find and disable the offending program.
For #2, this may be related to a rare bug in the WinINET networking library, whereby it is unable to properly communicate with its broker objects. If IE's Tools > Internet Options > Reset... does not resolve the problem then you should contact Microsoft Support to get more information about how to repair Windows.
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