I have been trying setup boinc with proxy and it has been impossible.
With HTTP_PROXY variable it doesn't run and modifying the xml the same.

Please...any help?

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AFAIK setting HTTP_PROXY has no effect.

You have a few of options.
Here they are in order of ease (IMHO).
Create a remote_hosts.cfg file in your linux BOINC folder with the IP address of one of your windows machines. Use the windows boincmgr to connect to your linux host and set the proxy info from the tools window.
-or-
Edit the client_state.xml file as described in the FAQ here
(You need to exit the boinc process, then edit the xml file, then start the BOINC process again.)
-or-
Use the boincmgr for linux, which should have been included in the linux application that you downloaded. (Requires X, so if you don't have that installed, then this option isn't available)

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What I've learned.
This is my xp box with freeproxy,
I'm told wget (and probably other stuff) does not like freeproxy.
I learned this while trying to sign in with cnr in Linspire (linspire.com)
- possible cause found at freeproxy site.

I have not tried squid yet, looking for it, that is how i found this thread,
so dropped a thought.

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I have used both analogx proxy and freeproxy on an XP box, without any problems (Well, since the proxy fix was introduced some months back). Various win boxes and a linux box proxy through it just fine.

BOINC v4.25 and above.

I haven't tried wget, but I could try it.

If you can describe your problem in a bit more detail, perhaps we can help you out.

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I had much trouble figuring out how to use a proxy with BOINC 4.19 Linux,
and found the answer On Paul Buck's
Site
<p>

Unfortunately, I didn't realize that my syntax was slightly off,
and that I had to stop BOINC, edit the client_state.xml file,
and then restart BOINC. Each time I made the changes, they would
not "stick".

I replaced the last lines of client_state.xml with the following

<proxy_info>
    <use_http_proxy/>
    <socks_version>4</socks_version>
    <socks_server_name></socks_server_name>
    <socks_server_port>80</socks_server_port>
    <http_server_name>192.168.1.142</http_server_name>
    <http_server_port>3128</http_server_port>
    <socks5_user_name></socks5_user_name>
    <socks5_user_passwd></socks5_user_passwd>
    <http_user_name></http_user_name>
    <http_user_passwd></http_user_passwd>
</proxy_info>
<host_venue>home</host_venue>
</client_state>

note the use_http_proxy line has <B>NO[/b] space
between the trailing slash and the closing bracket.