You can't do it with LWP::Simple, you have to use LWP::UserAgent to get proxy support....

require LWP::UserAgent;
$ua = LWP::UserAgent->new;
$ua->proxy('http', 'http://proxy.sn.no:8001/');
$request = HTTP::Request->new('GET', 'http://www.perlmonks.org');
$response = $ua->request($request);
[download]

Note that $response is not just the text of the gotten page, it is an HTTP::Response object. See the HTTP::Response docs for info on how to handle the response.