All my internet traffic needs to go through a proxy server. I have no problem mining BTC using any miner that lets me specific a proxy i.e cgminer...bfgminer.

I'm now try to mine LTC via scrypt + CPU + cpuminer. This is was I use.

minerd --url=stratum+tcp://global.wemineltc.com:3333 --proxy=http://proxy:8080 -u xxx -p xxx

Stratum connection failed: Failed connect to global.wemineltc.com:3333; No error

You can't use Stratum with a HTTP proxy because Stratum does not operate over HTTP, but you can use a SOCKS4/5 proxy.