If you do not wish to disable the entire Connections tab, you can use Group Policy to disable the user's ability to change the proxy settings:
1. Open the Group Policy snap-in.
2. Navigate through User Configuration / Administrative Templates / Windows Components / Internet Explorer.
3. Double-click the Disable changing proxy settings policy and set it to Enabled.
4. Press Apply and OK.
If the policy is Not Configured, you can set it via the registry, using REG.EXE, built into Windows XP, Windows Server 2003, and later operating systems, or installed from the Windows 2000 Support Tools:
reg ADD "HKCU\Software\Policies\Microsoft\Internet Explorer\Control Panel" /V Proxy /T REG_DWORD /F /D 1