In general, when you change system wide settings, you should notify the applications about this. In general, you can do this by broadcasting special kind of messages. All that are interested in that message, will be able to react - of course, if an application does not intercept this message, the notification won't reach it. In some cases there are special techniques to notify specific applications. In your case, you need to notify the system and Internet explorer as well.
You should consult this article:
Change Internet Explorer 7 Proxy Setting without Restarting Internet Explorer[
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