To get the proxy settings, go to "Manage Jenkins" which is accessible from your Jenkins home screen, then go to: "Manage Plugins", and from there to the "advanced" tab. Alternatively, you can go directly to: [your_jenkins_url:port]/pluginManager/advanced
Set the proxy server settings, and press submit.
These are global settings for all of Jenkins communications, so if your Jenkins configuration was having trouble with outgoing connections from that machine, this is probably why.
You can also use the credentials plugin to add your unique BlazeMeter user key, validate the connection and key:
Learn more about or install BlazeMeter's plugin to Jenkins.