A lot of proxies dont expose them as being proxies, what you can do however is attempt to connect to the remote host on the common ports that proxies run on.
So you could possible do something like this provided you are running PHP:
PHP Code:
<?
if(fsockopen($_SERVER['REMOTE_ADDR'],8080,$ERRNO,$ERRSTR,0.5) hahahaha= FALSE)
{
print "omg proxy server!!!11!";
}
?>