babyface,
aMule is capable of using a proxy server, in case you are not able to access the internet due to a highly restrictive firewall. This only has a meaning in the case that you do not have a root access to the firewall configuration, otherwise you could configure the firewall to enable the traffic on the aMule ports. Notice that even with a SOCKS5 proxy, you will get a lowid. Another use of a proxy is to get a "lowid on steroids", in case you are using NAT'ed addresses, i.e., your IP address is not a public one. In this case, using a SOCKS5 proxy will still give you a lowid, but you will be able to use the UDP port, which would not be usable otherwise.
Usually, the firewalls do not block outgoing connections to port 80, so one option is to use a proxy in this port. Or if you find a proxy on a non-blocked outgoing port, that will do the job.
Are you sure you need a proxy server? Maybe tell me something about your configuration, is the firewall at the same machine you run aMule? Do you have root access? Is you IP a public one?
Cheers!