If this does not work, click on your START button on desktop, type in "regedit" without quotations. Go to HKEY_current_user or something like at the top left then navigate to software/microsoft/windows/current version/internet settings and on the right hand side double click on "proxyenable" and enter 0. If you're having problems with this resetting automatically, just type in zero and leave the window open. It won't allow windows or whatever is causing the problem to reset the proxy. Automatic resetting is usually caused by malware/virus, your anti-virus software or other unknown reasnos. This is the ONLY fix I was able to EVER find after scouring the internet for months and months.
Proxy server' settings are on per-application basis. Above instructions apply if you are using Intrnet Explorer as your browser. The application you're using has its own proxy setting (or "Use IE setting").