For Windows Online Installation you must be connected to the internet. If you are running behind a proxy server, you must have your proxy settings correctly configured. If they are not configured, or are incorrectly configured, the installer will terminate with the following message:
The installer cannot proceed with the current Internet Connection proxy settings. Please check the Installation Notes for more information.
If you see this message, check your proxy settings: From the Start menu select Settings ..., click Control Panel, double-click Internet Options, select the Connections tab, and press the LAN Settings... button.
If you don't know what the correct settings should be, check with your IT or system administrator.