1. First start Internet Explorer, then go the right side of the Window and click the cogwheel, then choose Internet Options
2. Then click the Connections tab, and click the LAN Settings button.
3. Check if the “Proxy Server” checkbox is marked with a check, click on it to uncheck it.
4. Click on OK
5. Click on OK
The error should now no longer appear, if it still does then check with your ISP that you do not need a proxy to connect to the internet.