If you are connected to the Internet via proxy server, you will experience inconvenience working with R. In particular, by default you will neither be able to download the data, nor even install packages from web.
To circumvent this inconvenience, start R with key –internet2 , i.e. Rgui.exe –internet2
Now you can install the libraries and get data from yahoo finance by means of quantmod.
However, if you use Quandl (which relies on curl) it won’t help.
In this case you need to know the parameter of you proxy-server (ask you system administrator or have a look at http://wpad/wpad.dat).