1.  Autodial:  Make sure "Connect to the Internet as needed" is checked. Clicking on the down-arrow will allow you to select an existing DUN Connection. Clicking the Add button will allow you to add a new DUN connection. Clicking the Properties button will allow you to modify properties for the connection showing in the box above (e.g., checking the Server Types, etc.).

2.  Make sure "Connect through a proxy server" is checked and click the Settings button.