Under Linux set the environment variable http_proxy or https_proxy for the system.
Under Windows use the netsh tool to set the proxy, e.g.: netsh winhttp set proxy <ADDRESS>
In some cases setting the proxy with netsh is not sufficient. In that case set the proxy by starting Internet Explorer with SYSTEM rights and configure the proxy in the settings. To do this please follow this article.
You might need to configure Windows proxy to bypass local addresses (or instance addresses) if you can't access Web Management Console from the host itself and/or if Central Management can access managed instances via your proxy. Consult netsh documentation for additional configuration options.