Should not have to have an internet  connection.

Has the admin config the proxy server  yet? Even if you do not run a
proxy server you must config the proxy  server. There should be info in
the readme file abut this. Another place to look is in the Deploying
across an Extranet document located in the reskit.

I'm the admin on the server, but I know nothing about system  (just did
software installation). Our system admin is unaccessible since he messed up
with the server.
So I've been in command prompt : I'v run C:/ProgramFiles/Sharepoint Portal
Server/Bin/proxycfg.exe
So this is what I see : Flags = proxy_type_proxy
Proxy server  = 10.1.1.11
Bypass list = - not set-
I don't know if this is correct. If I go to SPS Administration, rightclick
on my server, Properties - proxy  Server, I see "Do not connect using a proxy
server" is activated.
Are there other things to check ??

What you need to do is in the command prompt navigate to the bin folder
in the SharePoint Portal Server directory. Type in the following:

proxycfg -d -p fakeproxy:80 "*;<local>"

This should take care of your problem.

And I'd highly recommend you get two things:

- Administrator's Guide to Sharepoint Portal Server 2001
- Sharepoint Portal Server Resource Kit

I'll save everyone from replying-all with "Amen" and just say -- get them.
Or buy them for your admin.