I followed nicerobot's instruction but to no avail. Based on the hint however, I managed to solve the issue by simply adding the following lines into the prefs.js file in the C:\Documents and Settings\<username>\.JxBrowser folder.
user_pref("network.proxy.type",1);
user_pref("network.proxy.http","your_proxy");
user_pref("network.proxy.http_port",your_port);
user_pref("network.proxy.socks","your_proxy");
user_pref("network.proxy.socks_port",your_port);
user_pref("network.proxy.ssl","your_proxy");
user_pref("network.proxy.ssl_port",your_port);
Save the file, restart soapUI, and it works!