Proxy issues are a different thing than not being able to log on to ArcGIS online.
CE 2012 does not yet really feature proxy settings, CE 2013 will.
Are you on Windows ? If so, there's a connection test you can make with RMB-clicking on the little CE icon in the task bar menu, where you eject e.g. USB sticks ( don't know the name ).
Let me know ..