Computer says I am connected to the internet but the proxy server isn't responding?

Are you really connected to proxy internet, once you need to check settings because proxy server that you configured in the proxy is not responding due to server issues in the server or in the routing method.

There may be several reasons that this kind of problem appears naturally, might be your PC is infected with virus and it may creating the kind of things that it is stopping to connect you to internet.

You need to check same proxy server in the other PC, once check with that proxy server settings if does matches might be problem in the first PC. Do a deep virus scan of the entire PC with antivirus. I prefer you to do scan with a Microsoft Security Essentials.

May be the Lan is not getting connected, check whether the LAN cable is connected properly and ping to the proxy address or server address. If not yet ping is done, you should check with the LAN.

If the above basic troubleshoots doesn't works contact network administrator.