"Sometimes, a proxy server can be installed on a company’s gateway computer to proxy all connections to and from the corporate network. In this case, you may need to configure the proxy settings in the Host and/or Viewer, depending on which side the proxy is used on.
When configuring access through a proxy, you should remember that proxy settings on the Host side are global. That is, there can be only one proxy server specified for the Host. On the Viewer side, however, unique proxy settings can be specified for each remote connection in the address book.
You can also import existing proxy settings from Internet Explorer."