I run R behind a firewall, and found it tricky to set the proxy settings for R so that I could directly install packages, access outside data using load(url()), etc. The solution lies in the http_proxy environment variable. Here is how to set it up:
Create a text file called .Rprofile in your home directory (on Mac OSX, this is ~ or /Users/myuser/). This text file should have the following line in it:
substituting your own username, password, and proxy server and port settings of course.
It seems that running this from R before you need it does not work, since I have heard reports that it only works if you run it as the first command in R when you start a new R session. By setting this up in your ~/.Rprofile you avoid having to retype it each time you start R, as well as making sure that this command is run at startup.