Thank you for your reply!
On their help page they say:
"Due to massive abuse of our connection to the internet from the WLAN we have to enforce the use of a proxyserver for connections to the internet"
and (translated by me):
"...we must enforce the use of the cacheserver. Accessment to the internet is only possible with the cacheserver."
Doesn't that mean that I must use the cacheserver and the proxyconfiguration? Because, by now I can connect to the WLAN (so WEP-key and all the heck are correct), I get an IP, but I can't load any page nor receive my mails. With my WLAN at home that's all possible.