This could happend when a program uses the windows setting for accesing internet and the registry key "ProxyEnable" is not present (because you don't use Internet Explorer to browse or had never configured the proxy in the internet preferences). The solution is:
1) Make a text file with this info and rename it to .reg file extension.
Windows Registry Editor Version 5.00 [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings] "ProxyEnable"=dword:00000000 2) Double click the .reg file
The program should not give exception now. If you want the program to access internet just go to the internet explorer settings and configure the proxy information in the "connection" tab.