I am looking for options which will allow me change connection proxy information of IE thru command line.
IE proxy settings are controlled via registry keys. In general you should change them manually since this implementation detail can change between versions. However, as a debugging tool its useful.
Anyway, you can change registry keys from the command line using the REG
command. Specifically, I would just create some .reg files with the various states you want to change to and do REG IMPORT example-file.reg
. Or, failing that, REG ADD
.