OK, this is a marker. Anybody (and there seem to be a lot of people) trying to get Myth to access the web via a proxy, should find this page.
With luck, somebody how really knows how this works will edit this page with the real answer.
For the present, I'd just like to say I've spent around 20 hours trying to get myth to access lots of stuff over the internet (XMLTV, mythbrowser, mythweather ...). I've seen lots of references to using http_proxy (even some HTTP_PROXY but that's long gone :-) ) but nothing seems to work. I can see the non-proxy access, as my firewall is logging them as spyware.
I can only guess that everybody is using transparent proxies, even so I would have expected some notes somewhere.
All very frustrating, the initial Myth setup worked great but without internet access, it's all a bit 'flat' :-(