Which option would you use to manage VPN and proxy settings in Windows?

To manage VPN and proxy settings in Windows, the "Connections" option is the correct choice because it specifically addresses network connections, including virtual private networks (VPNs) and proxy servers. In the Windows settings, the Connections area provides users with the tools needed to set up and configure these types of network connections, allowing for secure remote access and internet browsing while maintaining privacy.

The other options do not specifically focus on network-related configurations. The "General" option typically covers broad settings and preferences that do not directly pertain to network management. "Security" would involve settings related to firewall configurations or system security features but does not directly manage VPN or proxy settings. "Advanced" could imply a range of detailed settings, but it does not specifically identify or relate to the management of VPN and proxy information, which is primarily found under the Connections category.