2 days AGO I lost ability to access some internet sites (not all) in my favorites. I get the following message.

No internet
There is something wrong with the proxy server, or the address is incorrect.

Try:

Contacting the system admin
Checking the proxy address
Running Windows Network Diagnostics
ERR_PROXY_CONNECTION_FAILED

I don't know what to do. Any THOUGHTS?
What protection APPS do you have and whens the last TIME you updated and ran them ? ?what is your OS?

go to Control Panel, Internet Options, Connections, LAN Settings and make sure nothing in the Proxy Server section is ticked.Done, No improvementWas proxy checked...or not ? If it is checked and you didn't set 1 up you are infected...

Didn't fully answer what was asked...you have to help us to help you.I don't believe I set one up.  What should I do?I Unclicked proxy and now it works.  Thanks!
the fact it was ticked would raise concerns.
it's one of the 'tricks' malware infections can do.

what AV software do you use?
run all the anti-malware, anti-viral scan you can to check your PC is clean.
maybe it's time for SuperDave, the resident security EXPERT to guide you further...