Question : How do I use SFTP through a proxy server

I have a requirement to access data via SFTP on a daily basis, the problem is I'm not sure how to do this through a proxy server.

I'm using a FileZilla (windows XP) client to facilitate the connection. I set up a connection as:

[email protected]@localproxyserver and when I seem to connect, I get a  pop up asking me if I trust the server, since it's my proxy server, I tell it yes. and then fail to connect with an "Authentication failed" message.

I don't know a damn thing about SFTP, what am I missing?

Thanks in advance.

Answer : How do I use SFTP through a proxy server

Problem was resolved by my help desk. Closing question.