Can't connect to some websites, what is "web proxy", how set up...

I'm using a PC with WinXP-pro on it, and IE6, with a DSL connection using
AT&T, formerly BellSouth. The PC is on a small network with 2 PC's and 2
printers connected to a Linksys VPN router.

A few days ago, began having some website connection problems. In
particular, can't connect to godaddy.com... (It just times out ... and then
as a default, apparently, it falls back to a Google of the term
godaddy...not of much use).

I sent a note to Godaddy, and a trace route... their reply was... "According
to the trace route you can connect to our servers. You might want to try a
web proxy to see it that works. If it does, you may have to check you
computer."

What is a web proxy, and how do I set that up?

Also, could other things be causing this? The router has a firewall... so
Windows' firewall is OFF, and I also turned off the McAfee firewall.

Thanks for any suggestions,
George