We are getting a HTTP Connection error when trying to send a message. We have configured ActiveSMS to use our proxy server.

You need to configure ActiveSMS to run under user account / identitiy that has access to your proxy server, procedure as follows:

1) Goto Start Menu->Settings->Control Panel->Administration Tools->Service
2) Right-click on 'ActiveSMSServer', select Properties...
3) Click the LogOn tab
4) Select 'This Account'
5) Enter your own domain\username
6) Enter your password twice
7) Click OK
8) Right-click on 'ActiveSMSServer', select Stop
9) Right-click on 'ActiveSMSServer', select Start