Considering that most questions here are asked by people who don't have a clue it is usually best to try the simplest things first.

Xolox should work through a proxy provided you have set it properly. Make sure that the settings match the proxy. If the proxy is yours you might want to try using a different configuration in case it is some abnomalitiy with the way you have it set up. Also, you may want to make sure that there is no firewall on the proxy (proxy is not yours). If so you will need to open port 6346.