Yes it dose actually i am doing it as i am posting this the syntax is
xxx.xxx.xxx.xxx:80 xxx.xxx.xxx.xxx:80 xxx.xxx.xxx.xxx |80|

the 80 in the box being the last port number remember to put the : after the ip as your first ip address in your sample dose not have one and i dont know if this is a typing error or not.
As I suspected, this does not work. The proxy field will only honor one proxy server. I placed 3 proxy servers in a chain and IE only used the first one. The proxy happens to be in Italy which is why when I went to Google, it threw me to the localized Google site. You can look at my attached screen shots for more details.

The first two are proxy settings pictures so you can see that I have more than one proxy defined in the chain. The third picture is a netstat capture showing that indeed I am only going through the first proxy in the chain (in Italy) and the last is a pic of the localized Google site in Italy.

Myth busted. Chaining does not work in IE 6 - period.