I'm not playing grammar Nazi - I'm just filling in some words so that I can convey back to you the way that I understood your query:
does [a] PC connect [to] a wifi router faster when a proxy server is configured?
Since Windows 7 can act like a wireless access point as part of Internet Connection Sharing - I wondered if that was what you were asking about. Thus my need to clarify that my answer is "No" if you are talking about a computer connecting to a Wireless Access Point (which might also be a router).
The "connection process" takes place before an IP address has been assigned to (or is in use by) the computer making the connection. Proxy servers depend on IP based traffic... so, the "connection process" has already taken place before a proxy server comes into play.
Caveat: I could be wrong. It has been more than a decade since I studied this kind of stuff :-)