Vault uses the proxy settings that Windows and Internet Explorer are configured to use. You can instruct Vault to bypass the proxy by editing the proxy setting of your Vault.exe.config file, which is located in "C:\Program Files\Sourcegear\Vault Client" by default. Changing the line:Unable to connect to http://servername/VaultService. No server was found at the specified URL. Web Exception: The request failed with HTTP status 417: Unexpected status code.
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<proxy usesystemdefault="true"/>
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<proxy usesystemdefault="false"/>
UPDATE
In Vault 3.x and later, the proxy settings can be set in the Vault GUI client. Go to Tools - Options - Network Settings.