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If you connect to the Internet using a proxy server, you will need to configure this in Direct FTP before you can connect to the ftp host. To access the proxy server settings, first click on View->Program Options, then click on the Firewalls tab.
There are three main fields you need to configure. First you need to set the type of proxy (under the Firewall type setting).
Next you need to enter the IP address of the proxy server. If you are unsure of either of these settings, you will need to contact your systems administrator for help.
You can also give your firewall a friendly name, or just leave the default setting.