Anyway, when you are working in an organization, such as school, it might be the situation that you are behind a proxy. However you might feel about it, here's one way to enable web access from R that works for me. I use RStudio, but I think this might work for R-Gui, too.
1. Create a .Renviron file, which contains the following lines:
options(internet.info = 0)
http_proxy=http://your_proxy_address:port_number/
http_proxy_user=ask
Save the .Renviron file in your "Documents" or "My Documents" folder. I know, it is a somewhat weird place to put it. There's a discussion about it here.
2. Check that the http_proxy variable is already read by R, by issuing, in R Studio:
Sys.getenv("http_proxy")
If it works, R should return a string which contains your proxy address.
3. Make sure, in R Studio, that Tools > Global Options > Packages > Use Internet Explorer library / proxy for HTTP is unchecked.
4. Restart your R Studio. Now you can (hopefully) access the Internet from R!