The thing is that setting up Firefox to use a proxy won't suffice from my impression. It seemed that WMP uses an IE control/ActiveX/API to handle the DRM retrieval, which in turn makes use of your IE settings.
Just to make sure though, here's a short video showing the setup of proxies in IE7:
http://one.revver.com/watch/224527
Perhaps it helps.
Tools -> Internet Options -> Connection -> LAN Settings -> Proxy Server