A notification error would appear

I need help in downloading java. A notification error would appear stating that Internet explorer could not show the webpage. When I try to bring my java up to date in the control panel, a notification error would then appear stating that the update for java can’t proceed due to the internet connection currently set in the system.
It asks me to check the Internet Options in the Control Panel and verify whether the settings are correct. It also asks me to verify whether the proxy information is correct. What should I do?
