See also: Emacs behind HTTP proxy
Is it possible to tell emacs to automatically use whatever proxy settings are in use by IE?
Yes, it's possible.
The basic idea is to define before-advice for the URL functions, and set those variables to appropriate values. This requires being able to retrieve the IE proxy settings from Windows, from within elisp.
The w32-registry package does this.
Therefore, on Windows, you can do this:
(eval-after-load "url"
'(progn
(require 'w32-registry)
(defadvice url-retrieve (before
w32-set-proxy-dynamically
activate)
"Before retrieving a URL, query the IE Proxy settings, and use them."
(let ((proxy (w32reg-get-ie-proxy-config)))
(setq url-using-proxy proxy
url-proxy-services proxy)))))