AppEx Data Loader 8 Issue
There appears to be an issue with AppExchange Data Loader 8; even though you specify the proxy server it cannot connect to Salesforce.com, the error you may get is: “Failed to send request to https://www.salesforce.com/services/Soap/u/8.0“. There should be no problems if you connect without passing through a proxy server. In the meantime you can download AppExchange Data Loader 7 from here, until version 8 is fixed.
Update: Data Loader 8 is now fixed; please re-download it by clicking on Setup | Administration Setup | Data Management | AppExchange Data Loader.