Are we talking an "I play at work, and there's a proxy/firewall that filters out the naughty bits of the internet" proxy?
Because if that's the case, my guess would be that it's not actually the proxy that's the issue. I'd guess that there's either some port blocking, or flash filtering that's stomping TokBox.
If that's the case, the first thing I'd do is to find out if TokBox uses any ports beyond port 80 and 443 (standard HTTP and HTTPS) because best practice for firewalls is to filter on a whitelist policy, which will block every port that's not explicitly allowed. IF (and I'm just spitballing) TokBox uses a different port, you'll need someone in IT to allow the port, at least to his computer.
Next potential culprit is if your firewall/proxy is doing any web filtering. If it is, and static.opentok.com is blacklisted (either as part of a category, or individually) it will need to be moved to a whitelist to allow the applet to access the TokBox servers.
The last scenario that I can think of off the top of my head is that the firewall is doing flash filtering. This type of filtering usually exists to stomp flash game sites like Newgrounds etc If it's in place, quite often it uses keywords found in surrounding text to identify offending applets. If this is the case, it's likely that it's scanning Roll20 and identifying it as a "game" site, and blocking flash execution from the domain. First thing that I'd do to check to see if it's being filtered is to go to
http://www.tokbox.com/opentok/api and see if the video runs there (click the "Run Code" button) If it runs there with no issues, you're getting closer to figuring it out.
Depending on how the specific firewall/proxy runs, once you have your culprit, you'll probably have to approach IT and have them whitelist either the port that TokBox is using (if it's nonstandard) or whitelist either roll20.net or opentok.com or both.
Phew, wall of text over. Now, if my original premise (see first line) is incorrect, you can probably safely ignore most or all of this.