Try going to your Start Menu -> BlackBerry and open the Device Manager. Right click the Device Manager that pops into your sytem panel in the right hand corner of the screen and click Properties. Click the "BlackBerry Router Configuration". On the tab, click "Add Router" and enter your proxy address and port number and ccheck "Turn On User Defined Routers".
Fiddling with that should get you where you need to be.
"He that hath no sword, let him sell his garment and buy one."
Jesus, Luke 22:36
"The deadliest weapon in the world is a Marine and his rifle."
Gen. John Pershing, U.S. Army