Apologies for coming a little late to this, but...

Wouldn't the simplest solution be to provide a ".pac" file?

This is a file used to automatically configure the browser proxy settings. It is simple javascript, and would look something like:

code:
function FindProxyForURL(url, host)
{
   if (host == "www.training-host.com"){
      return "PROXY myproxy.mydomain.com:8080";
   } else {
      return "DIRECT";
   }
}
In this example any request for www.training-host.com would be sent to the proxy "myproxy.mydomain.com", all other requests would be forced to be local.

You would disable access to the IE configuration screens to stop your users fiddling, and assign the ".pac" file name during logon.