Terminology note: the firewall is what blocks you from connecting to some sites or ports directly. The proxy is an intermediate server that you can connect to (but not for everything) and that is allowed to access the Internet.
If your proxy isn't trying too hard to block non-web traffic, you may be able to get it to relay your git connection. Use a program like corkscrew or connect-proxy to use the
CONNECT method to try and get through the proxy. Put something like this in your
proxy.example.com and 3128 by your proxy's host name and port):
gitProxy="corkscrew proxy.example.com 3128 git.gnome.org 9418"
Many proxies are configured to allow
CONNECT only to port 443 (https), and they may check that the traffic they're relaying is actually SSL. If that's the case for you, as far as I know, your only options are to use a different protocol, use an external relay that you can reach (e.g. ssh tunnel with a server on port 443), or get your network administrator to allow git traffic.