Lionel,
There's a lot of things that you haven't told us. So lets start again :
1. Have you tried manually spawning a firefox browser wherein you are setting your proxy server and then ensured that there is no problem with your proxy server [ Are you using BrowserMob Proxy for that ] ?
2. If manually it works fine, but doesn't work when you try it via automation, can you show us how does your code look like ?
3. Have you tried setting a breakpoint in your test code wherein you can manually inspect the browser to see if the proxy settings have indeed been set in your browser ?