Yes you can. If you connect to the internet through a proxy server, Skype will automatically detect your proxy settings. However, if for some reason Skype cannot connect to your proxy server, if you know your proxy settings you can manually configure Skype to connect to your proxy server.
If you do not know your proxy settings, or you are not confident configuring your network settings, we recommend that you do not change these settings.
If you still encounter connection problems, it may also be necessary to configure your proxy server to allow Skype to connect to the internet. Your network administrator will be able to do this for you.
Note: Skype for modern Windows does not support connection through Authenticating Proxy.