If you connect to the Internet using a proxy server, you will need to configure this in Direct FTP before you can connect to your server. To access the proxy server settings, first click Edit > Preferences, then select the Proxy tab. You'll see a list of any configured proxy servers, as well as a form that allows you to set up a new proxy. Fill out the provided fields with the appropriate information. If you are unsure of any of this information, contact your network administrator.
Note: Proxy servers are an advanced feature that should only be modified if you know what you're doing. If you are unsure of whether you need to use a proxy server, you probably don't!