Internet Explorer loses Proxy settings

OK people, I need some help here.
We've got Internet Explorer 5x installed in our facility here. Some of our manufacturing vendors have some sort of Web Interface for our Inventory people to access. Some people have been coming up saying that they cannot access this site, and when I've checked it out, the Proxy settings are gone. So when I put the settings back in, they can access the site. Then all of a sudden, it won't work anymore. So I check the proxy settings again, and they are gone once more. It happens to a lot of people, including me (but I don't whine as much about it since I am an IT guy and know how to fix it myself, we don't want other people messing with the settings). It seems that if someone is more prone to closing IE with the 'X' in the upper right corner, then they have more possibilities of losing the Proxy settings. Otherwise, if I tell them to go to File -->Exit, it seems to hold the settings longer.
This does not happen at any particular time, nor to any certain people. It doesn't matter which version of IE 5x they are using(5.0 or 5.5), it still happens.
Also, just by closing IE from File-->Exit, doesn't mean its NOT going to lose the settings, it will eventually still happen. Whether it be 2 minutes or 2 hours later.

Any ideas?

i would like to help you but i am having the exact opposite problem right now...proxy settings wont go away =(

I have run into the same problem before where I used to work. Do you have configuration scripts?? Are these laptops that dial in sometimes and connect to the network other times? Our problem, they where all laptops and when the folks would go home and dial in with one of the Windows DUN connections it would blow out the proxy settings for all the connections (inclucing the LAN). Just a thought, let me know.

They were on Windows 95B with IE 5.0