In transparent authentication, you set the virtual URL that resolves to the Proxy itself. When going a Website, you get a fail or error message and will not be able to connect to the site using any supported browsers.

In the Management Console, go to Services > Proxy Services and expand the Standard service group. Select Explicit HTTP proxy and verify that it is enabled for port 80. You can check the settings by clicking on the Edit Service button. 

Background information: The problem occurs because setting the virtual URL to resolve to the Proxy requires an explicit connection.