Change Proxy server

Is the PC on a domain?  You can use group policies if you have active directory installed.

Yes the pc is on the domain but i do not want to do it with active directory policy. I need a solution without involve users, any tool lets say to do this or to change somehow the registry.

Group policies wouldn't involve the users either...if you can't figure out how to use powershell.

I suppose I can apply this script in a bat file and to put it at the startup of the pc, or at the domain profile to run it.

PS1 not bat file. and yes you can add it as start up script.

Alternative method:

1.Open the Group Policy Management Console and navigate to the GPO holding the settings.

2.Navigate to the Proxy Configuration Settings located at User Configuration/Windows Settings/Internet Explorer Maintenance/Connection and configure the Proxy Settings field.

3.  Set it to what you want.

4.  Done.

I would vote for "jhill777" as a primary method and my method as an alternative :-)

I have Windows Server 2000 active directory there is no such option.
Only with some tool I can make it this I do not have many options.

startup script ?

Yes only with startup script I can do this, I will try and I will inform you.

Server 2000 has group policies.  
You must have the Group Policy set to Preference mode to customize Internet Explorer. To do this:
Open the Group Policy Editor by using Microsoft Management Console (MMC).
Locate and click Internet Explorer Maintenance under Windows Settings in User Configuration.
Right-click Internet Explorer Maintenance, and then click Preference Mode.

Oh, and I don't think you can use Powershell on Server 2000 so you'd have to create the script on a client and put it in the startup of every computer you wish to make the changes on.  Based on the fact that you are still managing 2000 servers and used the term "bat file" after Powershell was proposed, it will probably take you longer to learn how to use Powershell than to just do the GPO.

The right way to do this is with WPAD based Proxy Autodetection.  The other methods are not flexible enough to deal with changing situations automatically and do not deal properly with mobile machines like Laptops that must dynamically switch to not using a proxy when they are off the LAN.

Doing a search with the keyword "WPAD" should turn up a lot of material on that and searching MS's site will show articles on how to set it up.  I am also working on one on my blog but have been struck by a bit of lazyness and haven't gotten it finished yet.