Many businesses use a proxy server for their outside internet connections. You might want to see if this is the case, and then set up the proxy server connection data under the options tab. This is the case at my work, and setting up the proxy data works perfectly.
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I have had the hardest time connecting to MT4 from work. I have heard that some users remote in to there home computer using logmein.com. I tried many remote connection providers but non worked except PCnow.webex.com. There is a free trial to test. The monthly cost is $12 but its worth it.