How to setup Proxy for Java Web Start App ?

I'm having trouble getting Java Web Start to work.
at... http://java.sun.com/docs/books/tutorial/uiswing/14start/compile.html
It tell me...
To test whether your browser can launch an application using Java Web Start, click this link.
http://java.sun.com/docs/books/tutorialJWS/uiswing/14start/example-1dot4/HelloJWS.jnlp
I do that & see Java Web Start try to start but get message...
Java Web Start - Invalid Argument
Unable to launch specified application
An error occurred while launching/running the application.
Category: Invalid Argument error
Could not load file/URL specified: C:\Documents and Settings\Will\Local Settings\Temporary Internet Files\Content.IE5\OP8RSBCV\HelloJWS[1].jnlp
Then... http://java.sun.com/docs/books/tutorial/information/javawebstart.html tells me...
"This situation usually happens when your browser and your copy of Java Web Start have different proxy settings."
I click Start | Programs | Java Web Start | Java Web Start,,, then click File | Preferences | General
My choices are... Proxies: None User Browser _ Manual (User Browser grayed out)
If _ Manual checked then I get...
HTTP Proxy ______
HTTP Port _______
I'm running XP Pro via Wi Fi to a Linksys Wi Fi router to a cable modem... I'm also running Zone Alarm (tried turning it off but no luck)
I don't know how to set up the Proxy stuff... can any one please help me get this set up.
thanks - Will

OK, on my XP Pro system I went to...
Start IE -> Control Panel -> Internet Options -> Connections -> Lan Settings -> Proxy Settings
This is my 'Local Area network (LAN) Settings panel...
- user Proxy server for LAN is checked
- Address is blank
- Port is blank
So do I plug something in here... the ip address of my linksys wi-fi router and a port number or what?
My Java Web Start Preferences won't let me click 'Use Browser' only None or Manual
If I click Manual, I don't know what to plug into the HTTP Proxy and HTTP Port fields...
I tried the ip address of my router... thinking it may have a built in Proxy Server... and port 8080 as indicated by the Help page for the Java Web Start... but no luck.
I really appriceate any help on this...
thanks - Will

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