so you're saying you can't pull up http://proxy.org/index.shtml using your script right? as in you can't even view the proxy.org homepage...if you meant to say you can't use proxy.org with your script (as in view other websites via a proxy via your script) then stop reading now and let me know cause that's very different.
if your php environment is good enough so that your script works on some sites, i would think it would be good enough to work on all sites...
could be that your hosting company is blocking access to proxy.org... i don't know much about hosting company policies but i wouldn't be surprised if they discouraged their clients from using proxies for some lame reason. if so they would block any requests to that url.
if you have shell access to that server, log in and try to download the homepage with telnet. if you can't then your hosting company is blocking you or the proxy site has banned your server's ip for some reason...cause otherwise you should be able to download the homepage via telnet since i was able to. if you don't know how, here is a print out of my screen:
gateway# telnet proxy.org 80
Trying 74.53.126.157...
Connected to proxy.org.
Escape character is ']'.
GET / HTTP/1.1
Host: proxy.org
<hit enter again>
type the stuff in bold...if a bunch of text starts flying down your screen then it worked. and if it worked, then the problem is likely to be your php settings, like you said, or a problem with the script itself. thats my guess anyways, good luck.