I don't know how or if winnt can do a transparent proxy the other option is wpad(this is that tick button in it that says automatically detect proxy settings in IE).
To use wpad you'll need a wpad.dat file which looks like...
function FindProxyForURL(url, host)
return "PROXY proxy.xxxx.com:3128;";
where proxy.xxxx.com is your proxy server.
To setup wpad, add a host in your domain called "wpad.xxxx.com"
where xxxx.com is your domain.
You'll need to setup a web server with a virtual host with the wpad.xxxx.com name and put the wpad.dat file there.
So the file is accessable via http://wpad.xxxx.com/wpad.dat
IE will try to load this file when it starts up.
another way is to add this to your dhcpd.conf (but I haven't tried it)
option wpad-url code 252 = text;
option wpad-url "!http://wpad.xxxx.com/wpad.dat