Sorry for being vague.
In some OUs we have proxy enforced and it seems to work ok, I think the exception could be server 2003 or anything that uses enhanced security, I remember it warning me the policies were different?
You can also use the IEAK to reinstall Internet Explorer with particular settings in place. I have done this and also prompted it not to reboot (as part of a post install) so if you are stuck give me a shout.