The Proxy panel allows you to configure PuTTY to use various types of proxy in order to make its network connections. The settings in this panel affect the primary network connection forming your PuTTY session, and also any extra connections made as a result of SSH port forwarding (see section 3.5).
Note that unlike some software (such as web browsers), PuTTY does not attempt to automatically determine whether to use a proxy and (if so) which one to use for a given destination. If you need to use a proxy, it must always be explicitly configured.