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sudo gedit /etc/apt/apt.conf

add the following:

ACQUIRE {
http::proxy "http://user name:passw@host:port/"
} 

to set up wget:

sudo gedit /etc/wgetrc

uncomment the line with the http_proxy like this:

# You can set the default proxies for Wget to use for http and ftp.
# They will override the value in the environment.
http_proxy = http://proxy.yoyodyne.com:18023/
#ftp_proxy = http://proxy.yoyodyne.com:18023/
# If you do not want to use proxy at all, set this to off.
use_proxy = on

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Source: http://ubuntuforums.org/showthread.php?t=136065//