Thanks for all your advise guys but I think I don't explain correctly the question, I'm concern with the integrity of my wallet password or some kind of middle man attack or that kind of stuff by the company who manege the proxy (although is manege by the only communication company in the country).
when you download from a website that doesn't have SSL encryption then what you explained is possible. but not when they have that encryption (meaning a link starting with https such as
https://electrum.org/#downloadadditionally it should not matter as long as you are verifying the signature of the files you download. for example in case of Electrum you must verify whether the downloaded binaries were signed with the developer's key (0x6694D8DE7BE8EE5631BED9502BD5824B7F9470E6) using PGP. there is no way to fake that.