Hi Rodolfo,
i tried the environment-variables too, but more than wget i didnt get to work :-(
The most important apps for me are gaim and gftp, could get them working with
the proxy anyway?
Are you sure that ftp or instant messaging are not blocked for you by your system administrator (it's my painful case...)? More than that I cannot help, I'm afraid, but I'm sure plenty of useful hints will pop up in a few hours.
Good luck!