Add proxy support

The first patch simply adds a visible message when a ConnectionError occurs.
This is quite useful, because previously it failed silently and I had to skim through the console logs in order to understand what was wrong.

The second patch adds proxy support, but note that https support is buggy in requests.
I've been tracking the related issues [1, 2], but should work properly once they're fixed.

[1]: https://github.com/kennethreitz/requests/issues/1359
[2]: https://github.com/shazow/urllib3/pull/170