This is a very simple little script that I often use to swap over Internet Explorers settings at work without having to open up fifty odd windows, (slight exaggeration perhaps), just double click on the vbs file to run. The code is below so you can see how to write your own by playing with the registry settings.
Download script SwapProxy.zip
Dim objWSch
Set objWSch = Wscript.CreateObject("Wscript.Shell")
Dim strProxy, strNewProxy
strProxy = objWSch.RegRead("HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer")
If strProxy="proxy1:1080"" Then
strNewProxy = "proxy2:8080"
Else
strNewProxy = "proxy1:1080"
End if
objWSch.RegWrite "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ProxyServer",strNewProxy
objWSch.Popup "Proxy is now " & strNewProxy, 3, "Swap Proxy Settings", 0
WScript.Quit