95% of people who are having trouble receiving a file find that the problem is actually with the person sending the file. 'Unable to connect' or 'connection failed' appears because when someone tries to DCC you, *you* connect to *their* machine. Likewise, when you try to DCC someone, *they* try to connect to *your* machine

Proxies do cause a lot of trouble however. There is proxy firewall support in mIRC Options:
ALT+O > Connect > FirewallMake sure you choose 'DCC' (or 'Both') from the drop down list and fill in the necessary text boxes. I strongly suggest you do not use this until you have determined that it is definitely YOUR end causing the problem - for most IRC users this option is not needed.
To make sure it's your end, try DCC getting from various people - you might /whois them and only choose friends who do not have ~ before their IdentD (username) because they are less likely to have issues with DCC (simply because it would seem they have correctly open ports).
Strange that you can DCC chat but not DCC get however, so it is possible the proxy is causing the issues. You might like to see
this page which has some other suggestions!
Best of luck

Regards,