Sorry for the late answer.
You give too few details for me to investigate and answer. Can you please detail your setup (what platform is the proxy running under? which version of the proxy? do some web sites cause the error more frequently?), run the proxy with maximum logging and attach the log to a rt.cpan.org report?
Thanks in advance.
CPAN RT for HTTP::Proxy: http://rt.cpan.org/Public/Bug/Report.html?Queue=http-proxy