To answer your question, as @yagmoth555 points in the comments: this registry setting should apply just by restarting the browser.
If it doesn't to you, try the following:
Create a Batch File like proxyOff.Bat
reg add "[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]" /v ProxyEnable /t REG_DWORD /d "0" /f
Create a Batch File like proxyOn.Bat
reg add "[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]" /v ProxyEnable /t REG_DWORD /d "1" /f
This settings should apply right after a browser restart. If they don't, please check wheter the browser is actually been killed. I've seen so many times no windows and still browser's proecesses running. If that's the case, please investigate with task manager.
Anyhow, I don't like this solution at all.
What you want to do would be better achieved in many other ways: I'll suggest two.
I'd just use a GPO to bring users the right to disable proxy. In the link there's a good starting point.
Moreover, giving users such rights is always a last resort idea for me; if you can dedicate more effort at the initial configuration, investigate about why they need to disable the proxy, and configure your proxy/firewall/gateway/UTM in order to bypass proxy when needed, using either local, or remote, or time based, or user/account based exceptions.
If you do this way you can still control what they do, if you give them right to disable proxy, sooner or later someone will disable it for evil or dangerous purposes, and not for the reasons that are leading you to the conclusion that:
occasionally the user needs to disable it.