It is just sad that no one knows how to reset the proxy settings in Android.
Well its easy to get to it with Any Cut, but since you couldn't get to the market there was no point in telling you that.
AnyCut allows you to put a shortcut on the desktop to any setting (They call it an Activity). Proxy Settings is one of the things it knows how to get to.
Normally proxys are associate with wifi routers.
BUT>>>>>
Since PDANet creates their own connector (essentially their own network interface, you can't be sure that they are handling the Proxy the same way. Its sort of a huge unknown, and I almost hesitate to recommend you dick with it, because he who recommends something acquires all blame!.