For some reason there's no Preferences option under Edit (are you advising me for FF2? I have 3.0) but I think I got to the Advanced Network connection settings another way from Tools and Options, then Advanced and Network where it says "Change how Firefox connects to the internet."

This is my own personal computer. If it helps, I'm connected to a network at university. When I was given instructions at the start of the year to connect my computer up, I was told to enter a proxy configuration URL which is currently what's in the box - if I change it, it won't let me onto the internet.

But the download problem has only begun recently. I've never had any problems like this before with this computer.

Edit: Also there is no "Connect Directly To The Internet" box.