I'm new to OS X and I want to connect my Macintosh through a LAN with wired connection using proxy settings and not using the WiFi connection.
How do I connect it to the LAN and use the internet?
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You take your Ethernet cable …
… and plug it into the Ethernet port.
Then go to » System Preferences » Network, select your Ethernet connection, and click on Advanced.
Here, under Proxies, set up your proxies.
All explained here: Mac OS X 10.6 Help: Using Ethernet to connect to a network or the Internet