Sanjay,
I didn't find anything in the JavaMail spec about mailing from behind a proxy. I.e., I don't believe there's native support for mailing through a proxy, but you might be able to do it with some of the Transport/Message implementations.
In my experience with proxy software (Wingate), in order to make use of the software, you had to specify the email host in a special way (I think it was delimited with a # sign). I haven't tried, but that may work with JavaMail.
This same question was posted to jGuru, but the reply wasn't particularly helpful:
http://www.jguru.com/faq/view.jsp?EID=21068 Best of Luck!
-Joel