I have been looking in to playing around with HAXE. I am using FDT a lot more now and they have a great plugin now for coding with HAXE. Musch to my surprise I kept running into this proxy error when trying to install on Mac OS X. Turns out it is a simple solution. See my forum post on the haxe site for the solution if you are running into the same issue.
The solution is to trash your /Library/Preferences/SystemConfiguration/preferences.plist file and reboot. After that the installer should run without an issue.