The POP3 / SMTP protocols do not provide you with the ability to specify the proxy settings in the same way as for HTTP / FTP protocols. If you want to use the proxy server for sending / retrieving emails, you will have to set-up the connection information (Server, UserName and Password) to this proxy server. So you will need to use the same Server, UserName and Password properties for specifying the email proxy settings.
E.g in case of using FreeProxy (by handcraftedsoftware.org) you need to set-up the proxy tunnel to your mail server and finally configure the email client components to use this FreeProxy server: http://www.handcraftedsoftware.org
Note: in both POP3 and SMTP components you will use the connection to your proxy server. Not to the real mail server. The connection to the mail server is handled by proxy. Such component behavior is by design according to RFC standards. It fully identical to OutLook Express, MS OutLook, Eudora and other email clients.
Also check the MS OutLook documentation for more details about connecting to the mail server via proxy.