I haven't seen such a feature native to VLC, but, if you're just trying to get the proxy to use, I do have a suggestion you could try.
(EDIT: To clarify, the links above were a suggestion to help the OP determine the address of his corporate proxy. They would need to be modified to reflect the corporate domain, e.g. replace example.com, branch.example.com, or department.branch.example.com with your corporate domain. If you already know the proxy address, this is unnecessary.)