I get a question similar to this probably every other day and figured it was time to 'go public' with a response.
Basically, depending on the web browser you use, it initially 'detects the proxy server' when you start your browser, however in many cases, it will bring up the last page that you were using. This is common on the newer browsers such as Avant or Mozilla as the history of websites you have visited is being 'cached', basically to speed up your web surfing. However, if you are using a wireless network for example, it is very common for that first page to come up blank, stating that it can not find the page you were looking for.
Usually the easiest solution is to simply click on the REFRESH button which will then send the command to re-download the page. At this point, the 'internet' is usually detected and up comes the page you wanted.
One solution may be to change your initial home page, however in most cases this is not necessary if you simply remember to click on the 'refresh' key. One trick I have found, especially when you go to retrieve your email, using outlook/outlook express, is to open the web browser first so that you do see the internet and then when you open your email program, it too will already have the internet active and will not 'time out' searching. Note that your email in this case uses a different port to access the web, but because you are on a wireless network, that too still must find the router that distributes the internet signal, therefore opening the web browser first, allowing the computer to detect the proxy settings (the internet web addresses through the internet source in which case is your router) should make retrieving your email easier as well.
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