Calling an external url from .NET (e.g. calling an external WebService) through a proxy can be challenging.
In web.config you can configure settings in
<system.net> <defaultProxy useDefaultCredentials="true"> <proxy autoDetect="True" /> </defaultProxy> </system.net>
But it might not be working with these settings. You might find something that fits your needs with:
Some explanation: http://sticklebackplastic.com/post/2007/01/26/Poxy-proxies.aspx