what means when I run CCleaner my configuration about proxy are changed in internet explorer. Is it normal or can I change this mode operation? Where can I make it?

That doesn't sound right.
Are you sure its happens directly after running CCleaner?

To be sure do a fresh reboot, verify your proxy settings, close the browser, run ccleaner, close, open IE and check the proxy settings again.

I'm sure it doesn't alter them,
As some guys at work have installed CC to the work PC's (big company, and we have proxys) and it runs fine without modifying the proxy settings.