You haven't said whether you are able to get to any web pages at all - Are there any you CAN get to?
I am assuming that you have an Internet Service Provider (ISP) that you are connecting to.
Have you set up the Internet Options correctly for your ISP?
If your ISP has a proxy server, and you do not set up Internet Explorer to use it properly, you can get that error.
You can also get an error if you specify a proxy when your ISP does not need one, or if you have recently changed ISP's and not updated your settings.
Check with your ISP for details on what your settings should be (they should be able to talk you through this over the phone if you can't access their web page)
If you access the internet over a local network, you will need to talk to your network administrator (or creator if it's a home network?) to get the required settings.
Stu