Until WordPress 2.7

Up to this version of WordPress it works only with an adjustment in the core, in wp-includes/class-snoopy.php. Here you have to change the settings of $proxy_host, $proxy_port and $_isproxy. The value of var $_isproxy = false; will of course have TRUE as value.

var $host       = "www.php.net"; // host name we are connecting to
var $port       = 8080; // port we are connecting to
var $proxy_host = ""; // proxy host to use
var $proxy_port = ""; // proxy port to use
var $proxy_user = ""; // proxy user to use
var $proxy_pass = ""; // proxy password to use
var $_isproxy   = true; // set if using a proxy server

WordPress 2.8

With the new version it is much easier, because no more intrusion into the core files is necessary and the possibility to define the values in the configuration file wp-config.php.

define('WP_PROXY_HOST', '192.168.84.101');
define('WP_PROXY_PORT', '8080');
define('WP_PROXY_USERNAME', 'my_user_name');
define('WP_PROXY_PASSWORD', 'my_password');
define('WP_PROXY_BYPASS_HOSTS', 'localhost, www.example.com');

Various references are also inTicket 4011.