Ok so I had an issue using wget from the cmd line on my linux box, so here is how to get a proxy to work with wget:
First off export a variable called "http_proxy":
export http_proxy=192.168.1.2
This will try to get to your proxy via port 80, you could also specify like this(if you are on another port):
export http_proxy=192.168.1.2:8080
Then connect specifying your auth creds if you need to pass any:
wget –proxy-user=myusername –proxy-password=mypassword http://www.myserver.com/download/strace-4.5.15-1.el5.x86_64.rpm
And you should be good to go!