I have encountered a strange question. I installed a Ubuntu 8.10 in the VMware in the XP, and use putty to connect to ubuntu. Everything is fun except I can't use the wget in putty, neither does command "sudo apt-get ***". But they are OK in the VM.
I'm going to guess that you configured you proxy settings in gnome. These settings don't apply to login shells. You can either unset the gnome settings and configure in /etc/apt/apt.conf and /etc/wgetrc or set the environment variable http_proxy and ftp_proxy as appropriate in your login shell.