If you have a version control proxy at a remote site and you wish to have Team Build use the version control proxy, you'll need to modify the registry of the account that's running the build service on the build computer. Here's what you'll need to put into the registry. You'll need to change "someproxy" to your proxy's name. Also, if you need to do this with Orcas, you'll need to change 8.0 to 9.0 for this to have the desired effect.
Windows Registry Editor Version 5.00
The client code that reads the registry to get the proxy setting does not look at HKLM. It only reads from HKCU.