Win ME – Internet Through Proxy server.

Currently I have a Windows ME Notebook and connect through office network.
So far I can use the folder and file and ping to the proxy server, but when I want to connect to Internet through proxy server. It give a result page error connot open. Beside that I notis that at the Internet option-connection-LAN Proxy show these message “LAN Setting Do Not Apply Connections. Choose Setting Above For Dial-Up Setting.”. Please help me to solve this problem. TQ