Do this!
Control Panel > Internet Options > Connections Tab > LAN Settings > Uncheck Automatically Detect Settings
Windows, for compatibility reasons, has Automatically Detect Proxy settings enabled. It unfortunately adds a significant lag to loading web pages in Steam as well as other internet dependent applications. Nearly no one needs this compatibility feature anymore, worst case if something goes wrong simply re-check the box. To disable this option follow the TL;DR at the top.