You mightn't be able to do this for the reason you posted.
Type Help & Support in Help & Support. Note you spelt centre wrong (it's americian spelling in Windows - wrong spelling means no searching - you have to watch this with colour and similar words - ms is just too dammed arrogrant to give a f!ck, the maggots). Hit 37 of the knowledge base has this to say (if H&S doesn't work here is a web link
http://support.microsoft.com/default.aspx?scid=kb;en-us;307164&FR=1&PA=1&SD=HSCH).
CAUSE
This behavior can occur if you use the New Connection Wizard to create the broadband connection. The New Connection Wizard does not by default enable proxy automatic detection for broadband connections that require authentication.
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RESOLUTION
To resolve this behavior, edit the connection settings for the broadband connection to enable automatic detection: 1. Start Internet Explorer.
2. Click the Tools menu, and then click Internet Options.
3. Click the Connections tab.
4. Under Dial-up and VPN Settings, click the broadband connection, click Settings, and then click Automatically detect settings.
5. Click OK.
You may also want to view hit 7
http://support.microsoft.com/default.aspx?scid=kb;en-us;315955&FR=1&PA=1&SD=HSCH
