This is fine as I have got all the correct settings, so I am still able to connect to the Internet. However, I was having problems using apt-get. If you are having similar problems, then this is how to get around it:
1] You will need to edit /etc/apt/apt.conf file using a text editor.
2] Enter the following lines of text, changing the necessary information to match the settings of the proxy server that you are using: