HTTP/HTTPs Proxy basics

An HTTP/HTTPS proxy (such as ZScaler) sits between your computer and the internet. Its role is to check all outbound connections, possibly log them and even forbid some of them (+ other features depending on the proxy).

Therefore, all your applications that need to connect to the internet have to be informed that they need to CONNECT to that proxy first. For this, you will first have to collect information about your proxy, as explained here.