Yep - if you use a proxy server chances are that you will not be able to access pages using fopen() etc, that are not on your hosts servers. focks() should still work but is not much use.
To test the theory find a page that you know is hosted on the same server as yours, fopen() that page - it should work - (depending on your hosts default settings).
Anyway that is more than likely your problem. If you have a small list of pages you want to grab on a regular basis, your host can cache them locally for you - it is not a major task for them so it depends on how friendly your host is!