From man curl:
man curl
-x, --proxy <[protocol://][user:password@]proxyhost[:port]> Use the specified HTTP proxy. If the port number is not specified, it is assumed at port 1080.
General way:
export http_proxy=http://your.proxy.server:port/
Then you can connect through proxy from (many) application.
And, as per comment below, for https:
export https_proxy=https://your.proxy.server:port/
The above solutions might not work with some curl versions I tried them for myself(curl 7.22.0). But what worked for me was:
curl -x http://proxy_server:proxy_port --proxy-user username:password -L http://url
Hope it solves the issue better!