Prevent MSIE 8 from reloading PAC file

The text of the warning that you're seeing would be helpful. If I had to guess, I'd say that you're trying to download an unsigned ActiveX control, and automatic downloads of such unsigned controls are disallowed in all the IE security zones by default. (I believe that the "Trusted Sites" zone prompts on unsigned controls, but none of the zones allow for automatic download of unsigned controls.)

Either sign the ActiveX control with a certificate that the client computers will trust, or alter the browser's behaviour with Group Policy to permit the unsigned code download.

IE should be caching the PAC result per server/host by default and should only be reloading the PAC file when it resolves a host it hasn't talked to on that session, it shouldn't be loading it on every request.

The registry key that controls whether it caches the result by host or not is:

HKEY_CURRENT_USER\Software\Policies\Microsoft\Windows\CurrentVersion\Internet Settings
Value: EnableAutoproxyResultCache
Type: REG_DWORD
Data value: 0 = disable caching; 1 (or key not present) = enable automatic proxy caching (this is the default behavior)

Or you can control it with group policies with the following setting:

User Configuration\Administrative Templates\Windows Components\Internet Explorer
Disable caching of Auto-Proxy scripts