Many networks dont allow connections from open proxies. Altho i dont know what network you are getting this on, and their website may have better info regarding this, you can try this web page for help with securing yours.
The simple solution is this: Don't use a proxy, they are not necessary and in some countries it is a criminal offence to use one without the consent of the owner.
Based on the fact that he is asking how to close the proxy to me at least, it sounds like he isn't connecting to some.proxy.com it sounds more like he has a proxy setup on his LAN and he doesn't have it secured correctly; but I could be wrong.
