The main reason for this problem is that you need to use a proxy server to access the internet. In that case, the proxy server is already set up in your browser, where you can look up its settings and enter them into Spybot-S&D.
In Mozilla, you can find the Proxy settings if you open the Edit menu, choose Settings... at the bottom, and navigate to the section Advanced - Proxies.
In Internet Explorer, see the Menu Extras - Internet options, go to the tab Connections and click the Settings button at the bottom.