I'd need more details of your setup to advise you accurately, however to connect winmx via a proxy you need it to be a SOCKS 4 or 5 proxy, for which you need the ip, port & login credentials if the proxy requires them, i may be wrong, but i *think* using a proxy also breaks the fake file filtering with the patch(KM will correct me if i'm wrong)
if all you have is an http proxy for web browsing you'll be out of luck i'm afraid
typically running winmx over a proxy gives poor performance at best (though it is possible) if you can, look into getting a direct connection