Proxys are used to block/monitor web traffic, if you are trying to remote desktop, do you mean the windows remote desktop tool or MSTSC as its also known?
This type of software does not go through a proxy and is probably being blocked by your company firewall - port 3389 will be blocked for outging and incoming profile as will most/all other ports (if you have good sys admins)
If you want to try tunneling cygwin is user friendly however you may not hae much luck if the company firewalls are worth their salt.
Another warning - I'm sure even trying to do this will be deamed as gross missconduct by your company, you could probably be fired on the spot for it. I beleive that there have been cases where internal PC users have been prcercuted for computer crimes by the companyies they work for (maybe not sucsefully) but its a hell of a risk for fun if you ask me.