Yeah nobody uses a proxy , but your phone services provider puts a proxy in the GPRS settings ....
It was in one topic here, I 'll have to search for it.
If you can surf on internet though.... Can you log in to Windows Live too?
Okay, I tried it with my WiFi network and it works. Guess it doesn't work when I connect to T-Mobile USA EDGE network. I can log into Windows Live through EDGE and WiFi, if that helps. BTW, if you want to know, here's my GPRS settings for my S710:
T-Mobile USA Total Internet
[GPRS] Start > Settings > Connections > GPRS
Connects to: The Internet
Access point: wap.voicestream.com
User name: (blank)
Authentication Type: None
Primary DNS: 22.214.171.124
Secondary DNS: 0.0.0.0
IP Address: (blank)
[MMS] Start > Messaging > MMS Settings > MMSC Settings
Name: T-Mobile MMS
MMSC URL: 126.96.36.199/servlets/mms
WAP gateway: 188.8.131.52
Connect via: The Internet
Max. sending size: 300K
WAP version: WAP 2.0