(tested with VLC 2.0.6)
1) Menu: Tools, Preferences (CTRL+P)
2) At the bottom: Show Settings: [x] ALL
3) At the top: search box: proxy
4) Setting: Input CODECs / Access modules / HTTP(S)
HTTP proxy: http://server_ip_or_name : port_number HTTP proxy password:
or with authentication
HTTP proxy: http://username@server_ip_or_name : port_number HTTP proxy password: password