Sorry I have no idea why it does not work for you.
We do not and will not provide support for any proxy settings. It's not an Opus issue and outside what we can support.
Talk to the proxy developers, or your AntiSpyware vendors or Microsoft or Zone Alarm or any of the many vendors that are involved in a proxy server on your machine.
You can (and have?) already been discussing this with me privately through an official support request. That's all we can provide for you.