Sitebulb has a range of 'global settings' which act as the default settings for every new audit you start. From the Dashboard, choose the 'Settings' option from the left-hand menu.

Global Settings Option

From here, the 'Proxy' tab allows you to connect to Sitebulb via a proxy. This is necessary if your internet traffic is routed through a proxy; since Sitebulb needs to connect to the internet in order to crawl, you need to give Sitebulb the details of this connection.

Global Proxy Settings