If the command line way of configuring your proxy server doesn't work, you can probably just edit .gitconfig (in the root of your profile, which may hide both in C:\Documents and Settings and on some network drive) and add this:
[http]
proxy = http://username:password@proxy.at.your.org:8080
http://stackoverflow.com/questions/783811/getting-git-to-work-with-a-proxy-server