Routers are not part of any Windows configuration. A Proxy server yes, but a router, no. If there is a router between you and the Internet, it's transparent to you. If its configured correctly, you will have Internet access. If it's not configured correctly, you won't.
If there is a proxy between you and the Internet, then that's configured in Windows. You have to tell Windows about the proxy you need to use to access the Internet. Once that's done you will have "Internet access" and whatever you need to do will work.
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