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Where's the firewall? Your machine? Is it a school/work firewall? For some reason, Kazaa (K++, Kazaa Lite, whatever) seems to create a malformed SOCKS5 request, which doesn't affect most people, but my SOCKS5 proxy at uni here can't use it. I downloaded a program called KaZaaHTTP (it works WITH your exisiting KaZaa install, and tunnels everything through your HTTP proxy) and all works.
Long story short: If you have it set up to go through the firewall, and it doesn't seem to go, try KaZaaHTTP (google it, you'll find the website).
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