Internet Explorer Proxy Monitor
Full user review
"Does exactly what it claims"
Besides simply enabling your default or alternate proxy, it also allows you to select the other settings in IE's connections tab (automatically detect settings, or use the automatic configuration setting)
While it allows you to configure many proxies, it only lets you to select a default and an alternate from the right-click menu. To choose another proxy, you have to open the app window and set another proxy as either the default or the alternate.
Does exactly what you need it to do. Small, lightweight, and functional. Highly recommended for someone who uses IE. Firefox users should look at the FoxyProxy extension.