Connecting an android phone through the wifi with proxy
did you specify the proxy configuration when you were setting up the network, you need to enter the proxy details in the network configuration try Google nexus 4 android network configuration website its for nexus 4, but hope its similar to any other android device.

http://support.google.com/android/bin/answer.py?answer=1649770.
get an english one or translate this page if its in french.

Hope it helps