It might be possible that you are viewing pages with Java,ActiveX, or some other scripting language that is changing it. Get firefox (if you don't already have it at getfirefox.com) and the noscript add-on (google it) for browsing with tor.
In order for tor to work correctly the proxy is set manually. Has anyone come upon a page that changes the proxy settings? Recently I have noticed changes twice once to auto detect and another to auto by url. Does anyone have a solution to this problem? I'm not really sure when the settings took affect.
-Jed
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