If you have been set a proxy then you have to manually set that proxy up below the general proxy setting options there is one for manual, see image, click to expand).
You need to set that for connection via your school proxy. Obviously when you aren't at school (e.g. home or elsewhere) and using that proxy, you would have to check the No Proxy option, that just greys out the Specify proxy server options, it doesn't remove them. So at school you just select the Specify proxy server option.