I think the point Ruairi was trying to make is that his corporate proxy does not allow direct connection to the internet, only connection through a proxy.
Regardless, I had the same problem. A grep oxy * in ./wordpress gave no result, but in wp-includes I found that class-snoopy.php contained:
var $proxy_host = "";
// proxy host to use
var $proxy_port = "";
// proxy port to use
After populating them appropriately with the IP and port of my http proxy, dashboard loads just fine.