The best way to do this is to use a feature invented by Microsoft (gasp!). Microsoft invented something called 'Web Proxy Autodiscovery' (WPAD). With this setup on your network the computers both Windows and Mac can 'autodiscover' the presence of a proxy server and the settings needed to use it.
Originally, OS X could not use WPAD, however I (yes moi) was able to persuade Apple to add support for this and it is available in Snow Leopard (10.6), Lion, (10.7), and Mountain Lion (10.8). You can turn it on by opening System Preferences, clicking on the Network icon, selecting Ethernet interface on the left, unlocking the padlock at the bottom, then clicking on the Advanced... button on the right, and then going to the Proxies tab at the top. You need to turn on only 'Auto Proxy Discovery' option. You do not want to use Automatic Proxy Configuration.
There is one final step, WPAD can work in one of two different ways, it can either provide the settings via DHCP and point your computer to the address of the .pac (proxy auto config file), or it uses a sepcific webpage address based on your networks domain name (the DNS method). See http://en.wikipedia.org/wiki/Web_Proxy_Autodiscovery_Protocol
I strongly recommend using the DHCP method. This requires setting your DHCP server up to advertise via the DHCP option code 252
It is possible to setup Apple's own DHCP server with a DHCP option code 252 but you need to manually edit the /etc/bootpd.plist file to do this. This ability to define DHCP option codes using Apple's DHCP server was added by Apple again in response to one of my suggestions. I have also written a utility to make it easier to generate the code you need for this.
Most DHCP servers built-in to routers cannot do DHCP option codes but Linux, Unix, Windows Server, and as mentioned above Apple Server all can.