The problem was solved by adding the following two entries to the web site proxy by-pass configuration:
January 6, 2010 update:
I have had to further refine my proxy bypass configuration.
I now have the following 2 subnets defined in the proxy site bypass:
- 126.96.36.199/24 - added on January 26, 2010
I'm pretty sure this is a bug in the app, since a colleague running a different web proxy at home does not have the same trouble. Comparing his network trace to mine seem to suggests that anyway. iHeart Radio does not handle the response from the proxy correctly. Hopefully they will fix it, but for now at least, I am good to go.