Recently deploying the AppFirst Collector under Windows 2008 R2, I've found the following:
ProxyCfg.exe is deprecated per the msdn article linked. Windows Vista and 2008 use the netsh command (the article does link this)
Prior to installing the AppFirst collector, you need to configure your system to utilize the proxy. The command was:
netsh winhttp set proxy proxy-server="http=proxy:8080;https=proxy:8080"
Once entered the proxy configuration will remain a rule even after rebooting the system.
After configuring the proxy, you can install the collector. If you receive an error, it is likely the proxy information you provided is incorrect.