Proxy Connection Issue

I put the code in wp-config.php to setup WP to use a proxy, but get the error “WP HTTP Error: Failed to connect to (proxy IP): Permission denied”.

I’m using WP 3.0 and put in the code:

define('WP_PROXY_HOST', 'IP GOES HERE');
define('WP_PROXY_PORT', 'PORT');
//define('WP_PROXY_USERNAME', '');
//define('WP_PROXY_PASSWORD', '');
define('WP_PROXY_BYPASS_HOSTS', 'localhost,127.0.0.1');

I left the username and password commented out since it isn’t required for the proxy. Anyone have an idea of why it would not be connecting?