Our network guys recently added a proxy server to our network which has caused my Windows Mobile device to no longer sync with Exchange via ActiveSync. I thought that's annoying but its ok I will just set the proxy settings in ActiveSync... To my disapointment ActiveSync doenst have that option!

After some investigation I discovered that if you change the "This computer is connected to:" value to "The Internet" (rather than "Automatic") it works fine!

So in summary, with your device connected, in ActiveSync go to:

File > Connection Settings > This computer is connected to: > The Internet