You need to install Java Runtime Environment (JRE) before installing Azureus cos Azureus is based on Java. You can download JRE from here. Just install JRE and then install Azureus, everything will be fine. All the Best.
Edit: As for another client, utorrent also supports proxy server. It's light n efficient, less resource hungry than Azureus. It's upto u though.
^^oo thanks man ima doin that rite now....BTW Utorrent is having problems becuz of that new release most private trackers are not allowing it as a bittorrent client now.