Look at the Proxy Activity tab in A4Proxy: is there any activity and connection statistics? If not, it means that probably your browser is not configured properly.
Microsoft IE has separate settings for different types of connection. Try entering the same address (127.0.0.1 port 80) in all possible proxy settings for all types of connection. Disable the “Automatic Network Settings” and “Use automatic configuration script” options.
Also, sometimes IE ignores the proxy settings and connects to sites directly even if everything is entered correctly. Try using a different browser like Opera or Netscape.
When the browser is configured correctly, the A4Proxy icon in the Windows tray must be flashing as you surf and there must be activity and statistics on the Proxy Activity tab.
Also make sure that A4Proxy is not in the Direct Connection mode (Options menu). In this mode you are not anonymous, as A4Proxy connects to the sites directly and anonymous proxy servers are bypassed.
That may also be a Java problem.