If the customer uses a proxy then the Data Collector will use the customer's proxy settings from Internet Explorer.

Proxy settings can be found in Internet Explorer: Tools --> Internet Options --> Connections --> LAN Settings.

Then set the Data Collector Service in the Log On tab to use an account that has the necessary rights to access the Internet.

If the customer uses a proxy as a system policy then you do not need to add proxy settings in the Data Collector.

You need to define a user account in the Data Collector Service Log On tab which has the appropriate rights to access the Internet on HTTP port 80 and HTTPS port 443.