I have installed the Windows 10 Mobile preview on my Lumia 625 and now i'm using the Windows Phone Recovery Tool to downgrade to WP 8.1 but, the recovery tool shows "check proxy setting and come back again". What does it mean?
Go to Control Panel and in the search box type "proxy settings". Or you can navigate to Control Panel -> Internet Settings -> Proxy settings -> connection.
In that tab check the "automatically...[something]" checkbox and uncheck the checkbox under proxy settings and hit done. Now your problem should be solved.