[R] How to set proxy settings for R

[danda]

Dear All,

I would like to run R on my computer (with win xp on it) at work bu the
proxy restrictions of the university don't let me download the packages or
to connect to a cran mirror, I usually get this message:

> chooseCRANmirror()
Warning message:
In open.connection(con, "r") :
  unable to connect to 'cran.r-project.org' on port 80.

Do you know if there is a way to set proxy settings for using R normally?
Thanks a lot
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