I have the older version (Nokia 770) and on mine it is possible to set the proxy in the browser so I should think it will be the same with yours too. The proxy cannot be setup in any browser options. Instead in my case I found it in the 'Advanced settings' of the 'Connection Settings' of a chosen connection in the 'Connection manager'. There is an option there to enter the HTTP proxy and port number etc. Took me ages to find it but all works well now.
I am no expert, so for further help it will probably be best if you ask the serious Maemo geeks on
www.internettablettalk.com