Freddy, Good question!
I found that if the user is using Windows XP, they will be able to create a new General User account. Windows will automatically save IE settings for each different account. I know it's probably a pain but it works eaisily.
So, all you have to do is create another account they they will use at home at set up the Proxy server in IE. Then on the account they will use at work, set up IE to run the autoproxy script. This should work just fine... just probably kind of annoying