To Configure a Proxy Server, goto Start->Programs->PocketRSS, from menu do; Options|Configure|Network Connection.
Step 1: Enable 'Use Proxy Server'
Step 2: Enter IP Address (e.g. 127.0.0.1)
Step 3: Enter Port Number (e.g. 4080)

Also, you can do a quick internet connection test by pressing the 'Test Connection' button which will download the webpage for the given URL. This is a quick way to verify that PocketRSS will work on your network.

Note: At this time, PocketRSS only provides minimal support for proxy servers. If your proxy server requires a login and a password, then PocketRSS will not work.