Working from memory so bear with me boys..

There are a couple of ways.

Open IE and go to Tools->Internet Options->Connections->LAN Settings

There are two fields of interest. The "Automatically detect settings" will look for a file called "wpad.dat" on a local web server called "wpad". This file should be in the same format as a ".pac" file.

"Use automatic configuration script" will allow you to specify the script name. You are supposed to be able to use local file names rather than a URL, but I haven't tried this.

Both these values should be settable via registry writes during logon.

The ".pac" file is described on Netscapes site, but it applies to both NS and IE. Search MS site for more info - the IEAK has more info.