Forgive my lack of python experience, but I think it would look something like this:
code:
iesettings = _winreg.OpenKey(
    _winreg.HKEY_CURRENT_USER,
    "Software\\Microsoft\\Windows\\CurrentVersion\\Internet Settings"
    )
    value, type = _winreg.QueryValueEx(iesettings,"ProxyServer")
    # do something with the value and data.
    _winreg.CloseKey(iesettings)