DNS server error when connected through a proxy

I am in the UK and connect through aol broadband via NTL which does not support a router so I use analogx proxy . All works fine ( I can use IE6 to surf ) except I that when I try and connect  a PS2 via my lattitude d600 using ICS it connects OK  to the lattitude but  reports 'cant find DNS server'. Also when trying to connect to dell support I get the same error.  Any clues ?