First: it would seem that your work server is a Windows server. To log onto the server and use it's network shares you will need to install Samba on both your Linux box and the server.
Second: assuming that your server will let you connect to the internet without logging onto the server itself (that is, only logging onto the proxy server), open Mozilla (for example), click edit, preferences and select advanced. In there you will see the option proxy - you will need to enter the proxy settings in there.
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