Finally!!
The problem was that is were actually two problems. First one was that Eclipse wasn't saving the username and password for the proxy settings. After finally finding the eclipse error log in
"{eclipse-workspace}/.metadata/.log"
(there seems to be no way to view the file in zend-eclipse itself) I found out that Eclipse was trying to save the password-file into the Administrator's user directory but had no access. (Oh what a surprise)
Putting this into the "zend-eclipse-php.ini" worked for me:
-eclipse.keyring C:\eclipse\keyring.txt
After this was done I could finally save username and password for the proxy but still no connection. When I took another look into the error log I found this error:
"!MESSAGE System property http.proxyHost is not set but should be {proxyname} !MESSAGE System property http.proxyPort is not set but should be {proxyport}"
and 4 more for https and socks. After googling this error I came upon a fixed bug: https://bugs.eclipse.org/bugs/show_bug.cgi?id=281472 where it states that maybe the proxy refuses SOCKS. So I cleared the settings for SOCKS and tried again and IT WORKED! Finally!
Hope this description can anyone else with these problems.