Yea I tried to change the proxy by going into lan setting and putting in a proxy, but it didn't work. Our Computer Specialist is really cool and he teaches us a lot about computers and he told me that our school(s) in our city disable the changing of the proxy. But he said I could use one in there. He mentioned something about the web interface I need to ask him more, but does anyone know how i could do this? He said that there we are bunch of them. He wants to see if I can figure it out.
They did that at our college. As they only block the proxy changing on IE, we downloaded portable firefox (download here), and could then change the proxy settings through that. (And browsing with firefox is so much nicer ;) ) This an be run from your user space, or from a USB drive.
Remember - The simplist method is often the easiest.