What does it mean when my computer says I'm not connected to the internet but I can still browse the web?

[723]

When I try to download something (i.e. IMVU, Minecraft, updates for things on my computer), it says I'm not connected to the internet or the it can't reach the server. I can browse the web and use my Skype, but that's it. I can't access the iTunes store, Skype Home, or my Vudu2Go account. I'm assuming that since these are all things I've downloaded, the problem is also affecting all of them as well. I also couldn't use my browsers for a while. Neither Internet Explorer nor Firefox. It said the proxy server wasn't responding. So after a while of me tinkering around with the settings, I apparently fixed the proxy settings because I can now use my browsers and browse the web. Its just all the other stuff I listed that's giving me trouble. I'm thinking it's something to do with my internet connection settings or whatever, but I don't know that much about computers and I'm hoping someone out there who does can help me. I swear to God I'll love you forever... I can't even update my virus protection or anything. PLEASE PLEASE PLEASE think really hard about what it might be, I'm desperate. Thanks so much.
This isn't a problem with my internet, this is a problem with my computer itself. It gives me this problem no matter who's internet I'm using. I've also tried using the troubleshooting but it always says something about it didn't work or it couldn't connect.

[terry2u]

Right click on the internet icon and open the network display. Go to troubleshooting and click on it. If it can't find the problem, unplug the modem and wait 1 minute to totally power down. Now plug it back in and let it refresh your signal. If that doesn't help get a connection, call your internet provider. Good luck...

[Micheal]

Check your browser setting (LAN Setting) if this check marked on proxy server then change it on Auto or System proxy setting.. or better to call network person..