Proxy is simply not working !

I have watched videos and read the manual on this site, whatever proxy data I put in, nothing happens.

The video simply is either stuck in long or endless parsing or I get the message "Can't parse link".

I do things EXACTLY like in this video
https://vimeo.com/101860131
The video I'm trying to download is from CBS channel so I tried out all kinds of US proxy serves but nothing...