I think what you need to do is set in your HttpRouter properties file:
Where I'm a little confused in looking at the code is proxy authentication. It doesn't look like we support that out of the box (maybe someone will correct me here). I would try two things :
first, setting http.proxyPassword= and http.proxyUsername=. Maybe these will be picked up and it'll just work.
If not, it looks like what you want to do is to extend the org.jboss.soa.esb.http.configurators.HttpProtocol.java class, specify your implementation in the property file, and make sure to setProxyCredentials on the HttpClient (see the proxy authentication section here):