|Sounds like you have an empty proxy server entry, most likely a virus or malware. |
To manually configure the proxy server settings for Microsoft Internet Explorer 6 and for Windows Internet Explorer 7, follow these steps:
At a command prompt, type the following command, and then press ENTER:
On the Connections tab, click LAN Settings.
Click to clear the Automatically detect settings check box.
Click to Deselect the Use a proxy server for your LAN check box.