** This issue is addressed in ArcGIS 9.0 Service Pack 2 (SP2) **
A change to the UI of Tools > Options dialog > Proxy Server tab did not include a label for WMS servers supported in ArcCatalog.
This is a known issue.
** This issue is addressed in ArcGIS 9.0 Service Pack 2 (SP2).
Click on the link in Related Information below and download Service Pack 2, if necessary. **