When a user downloads IJC via webstart the welcome page shows an error message - cannot connect to internet.
If I go into the options and change to Manual Proxy Settings it works fine.
Where can I change this centrally, so that it's already set when users download the application?
you can do this by publishing a PAC file. Then link to that file by ijc.proxy.pac startup option in your JNLP descriptor.
Also note that by default, IJC uses the system configuration. At Windows, the system configuration is whatever Internet Explorer uses. And that can be set centrally by domain administrator.