If it helps, the relevant bit of the 4.1 documentation is page 24 of the admin guide (Microsoft Exchange 4.1.6 version). It sounds like your BES is either deliberately configured to not allow access from handhelds to external web sites, or has just never been set up.
Assuming that it's just never been configured, your BES admin might need search for information on BES + your particular poxy server (or ask back here). There are lots of different proxy / firewalls in use, and configuring BES to work with some of them isn't straightforward.
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