Retrieve an image with a connection via proxy and uses the Java API NIO.2 to save the inputstream in a file on disk.

HttpFileGet.java

import java.io.InputStream;
import java.net.InetSocketAddress;
import java.net.Proxy;
import java.net.Proxy.Type;
import java.net.URL;
import java.net.URLConnection;
import java.nio.file.Files;
import java.nio.file.Paths;

public class HttpFileGet {
	
	public static void main(String[] args) throws Exception {
		
		Proxy proxy = new Proxy(Type.HTTP, new InetSocketAddress("127.0.0.1",8888));
		
		URLConnection conn = new URL("http://flupy.org/data/flags/br/br.gif")
										.openConnection(proxy);
		
		try (InputStream is = conn.getInputStream()) {			
			Files.copy(is, Paths.get("/temp/br.gif"));
		}
	}
}