To set-up the proxy go to the HTTP transport settings. Set the proxy server address as required (contact you network administrator for assistence). If your company use a non-standard proxy port this can be specified as 'webproxy:8088'.
You may also need to configure ActiveSMS to run under your user account, procedure as follows:
1) Goto Start Menu->Settings->Control Panel->Administration Tools->Service
2) Right-click on 'ActiveSMSServer', select Properties...
3) Click the LogOn tab
4) Select 'This Account'
5) Enter your own domain\username
6) Enter your password twice
7) Click OK
8) Right-click on 'ActiveSMSServer', select Stop
9) Right-click on 'ActiveSMSServer', select Start
If this does not fix your problem please check the system application
log: Start Menu->Settings->Control Panel->Administrative Tools->Event Viewer, click on the application log, if you see any error from the 'ActiveSMS Server' then please copy and paste the detail in an email.