Choose the configured News server in Outlook Express and right click menu-> Properties-> Server.
Suppose the original server name is "msnews.microsoft.com". You need to change the server name to the proxy server's address. Choose "This server requests to log on". Fill in "#msnews.microsoft.com" in account. Leave "Password" blank. Check "Remember Password".

Note: If the News server you log onto isn't free of charge, then the account number and password are needed. Your account name should be revised to "old account name#original News server address". The password is the same.