What proxy port number is listed when you look at the internet settings? It might give some clues.
Do you use proxy software as some antivirus programs use and might be putting in the proxy port?
If that's the case, you may need to permit the port somewhere in the firewall.
I don't know firefox, but like IE, it needs loopback permitted in the firewall.
Perhaps if you tell the system you use, what firewall and antivirus you use, and whether you use proxy, local or on the web, someone might be able to diagnose the problem.
The strange thing here is that IE is not affected, therefore, the control panel network proxy settings if changed, would also affect IE. I would think