In the simple case this may be caused by a basic connection issue: you have the address, port or some authentication details wrong, or the details are correct but the proxy is just not reachable on your connection, and so the browser can't talk to it. What happens in this case is that your browser is trying to talk to the local proxy on your machine, but the antivirus intercepts that connection (getting in-between your browser and your proxy) so that it can scan all the browser traffic.