Dei uma olhada no stackoverflow e parece que alguém teve sua mesma dúvida:
"
You have two options:
- Use --internet2 or setInternet2(TRUE) and set the proxy details in the control panel, in Internet Options
- Do not use either --internet2 or setInternet2(FALSE), but specify the environment variables
One trick is, you cannot change your mind between 1 and 2, after you have tried it in a session, i.e. if you run the command setInternet2(TRUE) and try to use it e.g. install.packages('reshape2'), should this fail, you cannot then call setInternet2(FALSE). You have to restart the R session.
When using option 2, one way (which is nice and compact) to specify the username and password is http_proxy="http://user:password@proxy.example.com:8080/"
In the past, I have had most luck with option 2
"Espero que ajude. 