My anti virus program says my databases are obsolete but wont let me update it?

im using Kaspersky Anti-Virus. when i try to update it, it says, "error connecting to proxy server" what does that mean and what else can i do? my computer recently caught a GVUN.EXE virus, but it's SUPPOSEDLY removed....i dont want my computer to crash, im in college so if it does im screwed, and i dont have enough money to get a new one or repair it.