Did you run the Settings-Wizzard with Administrator-Rights? (On Windows Vista and above, you need to rightclick the application and select "Run as Administartor")
In some cases you need to manually remove the global Windows-Settings for using a Proxy.
To do this, open the Internet-Explorer (on Windows 8 in Desktop-Mode) and go to Internetoptions->Connections->LAN-Settings here you disable the Option "Use a Proxyserver for LAN-Connections" and click Apply and OK.
First, note same as above. Second, which sites are'nt loaded? Do you get an Error-Message? - If yes, how it is exactly? (provide a Screenshot if possible)