Sometimes the DNS don't get resolved. You can try with localhost, or your own machine name (maybe with the domain). For example mrxmachine or mrxmachine.mrx.com. They will all fail, but you won't get an answer because, for some reason, git can't resolve the DNS. Being explicit about the ip for localhost will do.
Try
[user]
name = Mr X
email = immrx@mrx.com
[core]
autocrlf = true
[http]
proxy = http://127.0.0.1:5865
or use your own ip (you can check it in a cmd window with ipconfig)