By default, the backup software does not use proxy servers. Windows users can change proxy server settings directly in the McAfee Online Backup backup software. You may want to add some advanced proxy server settings to accommodate McAfee Online Backup specifically, particularly where firewalls are concerned. For more information, see Advanced Proxy Server and Firewall Settings.
If you cannot change this setting and you use Windows, you may be able to resolve this issue yourself. For more information, see If Settings Are Greyed Out in the McAfee Online Backup Backup Software for Windows. You may not be able to change this setting if your account administrator is managing it for you.