If a proxy server is not used to connect to the internet, select 'Connect directly'.
If you are not sure please ask your system administrator. Or, alternatively, try the following:
[Open your Internet Explorer]
Click 'Tools' and select 'Internet Options...'
Click the 'Connections' tab and click the 'LANSettings...' button
If the 'Use a proxy server for your LAN' option is enabled, your PC is using a proxy server to connect to the internet, in which case, in the Brother Firmware update tool or the I-FAX install tool, click the "Using proxy" option and then enter the Address and Port of the proxy server.