It took a me a little bit, but I found out how to make proxy expectations on Windows XP. You're suppose to go to the Internet Options from the Control Panel and go to the Connections tab. Click on "LAN settings" and when your on the panel, click on advanced in the "Proxy Server" section. In there, you'll want to add in "msnmsgr.escargot.chat;ds.escargot.nina.chat" in the exceptions field. (I don't know which address currently works, that's why I add both in case)
After that, press OK to close the windows. It'll take a while to take in effect (for me, it took like a minute or more), but you'll be able to contact the server with any proxy :D