Your server runs some WinXX or Linux?
Anyway, you can try Dante to set a proxy client. I did so at my last job (unfortunately in my last day at work
). The compiling worked fine, but I had not the time to configure it.
In my case the server ran WinNT 4.0 SP6 with MSProxy 2.0 and my station Mandrake 8.1 (default installation).