Can't turn off proxy server in my connections setting

try ticking the automatically detect settings and SAVE it does this help?

Is this a machine at home or at work?

(Posted with a public account)

I had the same problem. In Windows XP SP3, Control Panel > Internet Options (to open Internet Properties dialog), Connections tab, LAN settings. In "Local Area Network (LAN) Settings" dialog, section "Proxy server" had a check for "Use a proxy server for your LAN (These settings will not apply to dial-up or VPN connections).".

Clicking Advanced showed me my proxy settings, which I wanted to disable, but whenever I uncheck the box in the "Local Area Network (LAN) Settings", or delete the info in the Proxy Settings dialog for HTTP and its Port, the "Use a proxy server..." box would be checked after closing and re-opening the "Local Area Network (LAN) Settings" dialog, and the data in Proxy Settings dialog would be back.

Solution: In the Proxy Settings dialog, delete not only HTTP and its Port, but the contents of the Exceptions text area. My Exceptions text area said something like "example.com;;*.local". Click OK. An "Invalid Proxy Server" dialog appears. Click Yes to turn off proxy connection, and it finally stayed off.

(Similar problem of proxy turning back on could be due to malware or registry changes / network policy. See stackexchange for more info on those.)