First, you have to configure WGET to use your proxy. Edit WGET configuration file (usually /etc/wgetrc) and put this in:

http_proxy = http://myProxy:port/
ftp_proxy = http://myProxy:port/
use_proxy = on

Now, when IEs4Linux ask you for advanced options, say 'n' to configure them. When it asks for wget flags, enter your proxy user:

--proxy-user=myUsername --proxy-passwd=myPassword