From the main menu, click Tools > Options > Freedb. This will allow you configure several options regarding MediaMonkey connections to Freedb:
Determines whether album information is automatically looked up when a CD is scanned.
Configure the server to use (username and domain are optional). The main freedb server is entered by default, although you may want to change this to a server closer to your location.
Freedb connections usually use the CDDBP protocol, although you may want to use HTTP if you are having firewall related problems. If you use HTTP, you can also configure the connection via a proxy server--if you don't know the Proxy Server settings, check with your Administrator.