In our latest version you can set custom headers.
As for proxy, if you are using the latest version of PDFNet, then it will pick up what the OS is set for.
We use WinHttp interface, so running one of the following to setup proxy, should work.
The proxycfg.exe utility on Windows XP and Windows Server 2003 or earlier.
The netsh.exe utility on Windows Vista and Windows Server 2008 or later.
for example, run command line as administrator and call
netsh winhttp set proxy a.b.c.d:x