To access the Zotero connector, right click on the Zotero icon on the upper right hand side of the browser bar. (Note that this icon may appear diferrently depending on the kind of web resource you are viewing)
From the drop-down menu that appears, click on "options" to open the Zotero connector settings. The following screen will open.
Select "Proxies" on the left side to access the Proxy settings. From here you can disable/enable proxy redirection entirely.
Or you can unselect "Automatically detect new proxies" to stop the yellow Zotero proxy pop-up from appearing.