My use case is this, I want to call out to a webservice and if I am behind a proxy server that requires authentication I want to just use the default credentials...
If you want to check for the Proxy settings in IE, you could also peek into the registry: check the HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
branch of the registry tree - lots of options and settings there. Most notably: ProxyEnable
(a DWORD, 0 = no proxy, 1 = proxy enabled).