As the guy above me said, the mirror client does not support proxy ATM. However, this may/will be changed asap.
Furthermore, a proxy server is any computer system offering a service that acts as an intermediary between the two communicating parties, the client and the server. In the presence of a proxy server, there is no direct communication between the client and the server. Instead, the client connects to the proxy server and sends requests for resources such as a document, web page or a file that resides on a remote server.
There also is different type of proxy servers and their uses, accordingly.