If you check the settings under "Tools > Internet Options > Connections" (under LAN settings), is 'Proxy Server' ticked? If it is, have you tried to un-tick it? If so what happens?
You should probably have 'Automatically Detect Settings' ticked, and 'Proxy Server' un-ticked, unless you need a Proxy Server of course in which case check its set up correctly.
If that doesn't help this should - https://malwaretips.com/blogs/the-proxy-server-isnt-responding-removal/, assuming that is your problem.
If still no joy, try resetting IE - https://support.microsoft.com/en-us/help/17441/windows-internet-explorer-change-reset-settings
Changes to IE by the desktop version of IE.