Jelle Druyts - a very knowledgeable Belgian developer (and community guy) - just released Proxy Monitor 1.0. From Jelle's blog:

Proxy Monitor is a small application that monitors the network and auto-detects the internet proxy server to use. It can be started as a regular application, which will make it run as an icon in the system notification area. When started, it will auto-detect the proxy server to use. It will also automatically re-detect the proxy server when the computer’s network address has changed. The application can also be run from the command-line with the /detect flag to auto-detect the proxy and exit immediately (e.g. when the computer starts up).

Download of Proxy Monitor is available on Jelle's blog (for free).