Your problem is more than likely due to the fact you have the Virtual Machine set up to use a NAT. As far as the Virtual Machine is concerned it is directly connected to the internet, the host machine (Windows 7) is supposed to forward any network traffic onto the "real" internet.
Like a lot of Virtual Machine software packages I would assume VMWare defaults to giving the guest operating system its own private network (NAT). This means that setting your proxy settings on the Ubuntu Guest won't work because it won't be able to communicate with the proxy server.
You will need to check in the VMWare settings if it can be configured to use a proxy. If not then the only solution would be to use Bridged Networking for your Virtual Machine. This passes all network traffic from the Virtual Machine directly onto the host's network. Be warned! this will look to your network admin as if you have plugged a new computer into an Ethernet port. Don't do this without checking with your network admin first!