Internet Explorer not working after establishing a VPN connection

Found the culprit.

Internet Explorer can use custom proxy settings for each VPN connection, and those settings override the default, global proxy settings when a VPN connection is in use. Thus, as soon as you establish a VPN connection, the connection's proxy settings become active, and if you don't configure them, IE defaults to a "no proxy, direct Internet access" configuration and just ceases to work.

enter image description here