Question: I saw the Example of Mr. Bob regarding Delphi 2010 Datasnap, I am impressed. But my question is what if the client is connected thru proxy server? how could I define the proxy in the client?

thanks...

Answer: 
Forget D2010 Datasnap. It's still a half backed solution lacking a lot in flexibility and security. It will only work in very simple scenarios, and it's unusable in any real application due to its many flaws.

**Update**: because I am said my answer was argumentative and not helpful, I'll give you the full answer: connections through a proxy - but a transparent one - are not supported. If you look at the implementation of TDSHTTPNativeClient, you'll see it instantiates a TidHTTP component, which would allow a proxy to be set, but the implementation totally overlooked the need to set a proxy, because, you know, proxies are so rarely used today that there was no need to think about them ;). That component is private, thereby you can't access it easily. You could try with some RTTI code, or you could try to modify yourself the DSHTTPLayer.pas unit to add the missing pieces. All that to set what should have been a basic supported feature out of the box.
But as long as you try to use this Datasnap, you will encounter many other basic issues, look in Quality Central for them. Again, my advice is to avoid this Datasnap unless you have very basic remoting needs, until Embarcadero makes it a true professional remoting library and not a toy.

**Update 2**: I've added a request to support a proxy to Quality Central, [#85467](http://qc.embarcadero.com/wc/qcmain.aspx?d=85467)
@Idsandon : How nice of you to *not* link to your critical article on this subject ;-) I can't help myself but to link to it : <http://www.sandon.it/?q=node/57> - especially the security considerations are not to be ignored, so thanks for this detailed analysis.