The .NET client library relies upon the standard HttpWebRequest class in order to connect to the Server.
So, no proxy-specific code is included in the library, but the support for the default proxy configuration provided by the HttpWebRequest class is available.

For instance, with the default .NET configuration, having supplied the proxy settings in the Internet Explorer is enough for HttpWebRequest to use the configured proxy.

As a more complex example, if the proxy needs to authenticate the user, then the user credentials can be configured (in .NET 2.0) by including the following code
IWebProxy proxy = WebRequest.DefaultWebProxy;
proxy.Credentials = new NetworkCredential("proxyuser","proxypass");
before opening a connection.
In order to ask the user for the credentials only when needed, the HTTP 407 error message can be checked upon the failure of the first connection attempt, by inspecting the PushConnException received.
Unfortunately, until library version 1.0.2692.31072, the PushConnException does not include the original System.Net.WebException as its "InnerException"; in this case, only the exception message can be inspected.