I have a computer at my office which is a part of a domain. But research is a part of my job, therefore I have local admin rights on my computer meaning I can access the Registry Editor [regedit.exe]. So even though the Use a Proxy Option in Internet Explorer under Tools—>Internet Options—>Connections—>Lan Settings is greyed out, I can change it from the registry. Here’s how to do it:

1) Open your registry editor
2) Go to HKEY_Current_User\Software\Policies\Microsoft\Internet Explorer\Control Panel
3) On the right change the DWORD value of Proxy from1 to 0, 1 means Proxy option is disabled, 0 means its enabled.