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answers:

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It doesn't seem like SQL Management Studio Express 2005 considers Internet Options proxy settings defined for the LAN when trying to connect to SQL Server 2005.

Is there a way to make it use the proxy settings?

A: 

Short Answer: You don't.

As far as I know, SQL Server uses TCP 1433 for pretty much all the traffic, hence a typical web proxy will not allow you to connect anyway - you need a more sophisticated proxy that supports something like SOCKS for example.

Assuming that you did have an appropriate proxy available, you could try using an app like Proxifier to force SQL Management Studio to use the SOCKS connection.

As a fallback, if your web proxy allows the CONNECT method, you might be able to establish a connection to a server elsewhere to act as a middle-man. You could try using SSH for example to tunnel TCP 1433, and have it route it to your hosted SQL database.

Note: I have never actually tried the above setup, so it may not even work or there may be other issues you encounter. That said, the advice is sound and you should be able to make it work.

Goyuix