Internet Explorer proxy settings won't change - "some settings are managed by system adminsitrator"

Credit for this solution belongs here:

I came across a computer with a malware infection that had its Internet Explorer proxy settings configured, but I couldn't remove the proxy settings.  When I went to internet properties, it said "some settings are managed by system adminsitrator"

This computer was not part of a domain and had nothing set in local policies.  The fix was to change the value for ProxySettingsPerUser from 0 to 1 in the registry here:

HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings -> ProxySettingsPerUser