connecting to proxy

I am using a proxy to connect internet with IP and port 3128 but I must set connection in inetrnet explorer to connect with proxy and also set Firefox separately to connect and also set yahoo messenger to connect to internet via proxy and etc.. but some times I want to connect with another IP I must set them all to new IP is there any program that set them and other programs at once or change the connection so they connect to internet via proxy without setting them separately?