To fecth a remote feed in WordPress, you can use Snoopy that is placed in wp-includes/class-snoopy.php
You can use it including
_fetch_remote_file($url, $headers = "")
that instances an object of the Snoopy class
I have to use Snoopy on a server that doesn't allow me to set an HTTP proxy through php.ini or something at "system" level so my workaround was to set the public variables
of the Snoopy class: why don't let fetch_rss use an additional parameter to set some Snoopy variable? I suppose it is not fair to set them through
_fetch_remote_file because it is "private".