In order to set up your proxy server, you’ll need to edit your web.config files for your relevant webapplications.  You can normally find your virtual directories in

   C:\Inetpub\wwwroot\wss\VirtualDirectories

With several subdirectories for each port SharePoint runs on.  You’ll need to set this for every application using RSS, so normally at least the folder “80″.  Enter the relevant subdirectory, and replace the following section in the web.config files:

  <system.net>
    <defaultProxy>
      <proxy autoDetect=”true” />
    </defaultProxy>
  </system.net>

with:

  <system.net>
    <defaultProxy>
      <!– <proxy autoDetect=”true” /> –>
      <proxy proxyaddress=”http://proxy.company.com:8080″ bypassonlocal=”true” />
    </defaultProxy>
  </system.net>

It’s useful to ensure that the original setting is available, but commented out, just in case you need to reset things quickly.  It goes without saying that you need to replace the details of http://proxy.company.com:8080 with your own proxys details!

After applying the change, you need to rest IIS – I favor:

   iisreset -noforce

which is just a little more graceful if something is locked.

One gotcha – make sure you set the web.config files for both port 80 and port 443, if you are using SSL.