The Proxy specifications are needed only if you access Internet from behind a firewall or through a proxy server.  The Data Sources/Proxy screen is accessed from the Options menu or the Menu button on the main screen:

 

 

If Microsoft Internet Explorer is correctly configured to access the internet, then just check the Use Proxy settings already entered in Microsoft Internet Explorer box and you are all set.  If not, or you just want to explicitly specify the proxy server, then check the Connect to Internet through a proxy or firewall box and specify the details that are relevant to your proxy or firewall.