Hi Bruno,
When you set up Office 365 accounts on Outlook clients, you should just enter user email addresses and passwords.
For the email addresses, you can find them on Office 365 portal:
1) Sign into Office 365 portal.
2) Click users and groups on the left panel.
3) You will find all the user email addresses.
Please note: if the administrator set up users accounts on Outlook clients, he just need to type in the email addresses and passwords. However, he cannot just use the administrator user email address and password to set all user accounts.
To set up user accounts on Outlook clients, please refer to the following article:
http://help.outlook.com/en-us/140/Dd251217.aspx
If the Outlook is inside your company, you don’t need to deploy a proxy server.
Thanks,
Vivian Wang