How are the days of a proxy server over? Business use them all the time and I think it's a also a great solution for keeping your kids on limited access at the house. You can resrict sites and all kinds of goodies!
Back to the post, I assume the questions is from a LAN that has no way out to the internet other then via the proxy. If that is the case, you would have to have an area in the setting menu there you can tell it what your proxy's IP is and what port it's using.
This is a poor example, but if I were to use the N1000 here at work there would be no other way to do so other then putting the proxy's IP into the N1000 along with the port number or slip the IT guy a $100 and get him to setup a special static IP address that can bypass the proxy and then set the N1000 up with that static IP (which I don't think you can do either) unless you edit the ifcfg-eth0 file if it even has that or if you can even get to it)).
just my 2-cents worth and opinion, your milage may vary and I am not a doctor nor do I play one on TV, but I have stated at a Holiday Express once...
The day of proxy servers is over.
Roku3 and Roku HD1000 [Rev B] on a Samsung HLP5674W DLP in the living room; a Roku2 and two Roku XS and a few SoundBridges.Win7; Kubuntu and XP via RT-N66U, E2000 and a switch or two. I own stock in Roku, it's just all in the form of hardware.Viva la Roku