When testing multiple user accounts, you can Right-Click on an
Internet Explorer shortcut, select
Run As..., and enter
another user's credentials to launch Internet Explorer as that
user. This way you can try out IE as them without needing to go
through the full login process.
Add to Local Internetdialog will not function properly.
Run As...option, create a new shortcut to Internet Explorer and use that - the IE icon on that's on the desktop by default is not a normal shortcut.
If credentials are entered manually in IE when accessing the proxy machine (even the credentials of the current user), then IE will use NTLM to authenticate with the proxy machine instead of Active Directory, which prevents proper delegation from occurring.