#!/usr/bin/perl

use Data::Dumper;
use LWP::UserAgent;
use WWW::Mechanize;

my $mech = WWW::Mechanize->new(cookie_jar => {}, agent => "WWW-Mechani
+ze/0.01");

$url = 'http://www.ibm.com/servers/eserver/support/pseries/aixfixes.ht
+ml';

my $ua = new LWP::UserAgent;
$ua->proxy('http','192.168.1.248');
$mech->get( $url );
$mech->follow_link( text_regex => qr/More fix services/);
$mech->follow_link( text_regex => qr/AIX 5.3/);
$mech->follow_link( text_regex => qr/Data file for AIX 5.3/);

print Dumper $mech;
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UPDATED the print dump shows

                 'status' => 500,
                 'content' => '500 Can\'t connect to www.ibm.com:80 (B
+ad hostname \'www.ibm.com\')
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I would not expect what you have to work. That's because you have created two user agent objects, $ua and $mech (yes the latter is a user agent object too, because WWW::Mechanize is a subclass of LWP::UserAgent), one ($ua) that is configured for use with a proxy (but is otherwise not used), and the other ($mech) that is not configured to use a proxy. I think what you want is something more like this:

#!/usr/bin/perl

use Data::Dumper;
use WWW::Mechanize;

my $mech = WWW::Mechanize->new(cookie_jar => {}, agent => "WWW-Mechani
+ze/0.01");

$url = 'http://www.ibm.com/servers/eserver/support/pseries/aixfixes.ht
+ml';

$mech->proxy('http','192.168.1.248');
$mech->get( $url );
$mech->follow_link( text_regex => qr/More fix services/);
$mech->follow_link( text_regex => qr/AIX 5.3/);
$mech->follow_link( text_regex => qr/Data file for AIX 5.3/);

print Dumper $mech;
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Note that what I have done is treat $mech as an LWP::UserAgent object. (If it's not clear what's going on, take a look at perltoot.)

BTW, you should get into the habit of checking for the success of requests made through the $mech object; you do this with its is_success method.

the lowliest monk

Instead of manually checking the success/failure after each step, I found it more convenient to have the Mechanize object die on error. This is very convenient for quick development, later, if you want a robust program, you should disable that feature again.

...
  my $mech = WWW::Mechanize->new( autocheck => 1 );
  # cookie jar and user agent are set implicitly
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