Sorry for digging this up, but I found this thread while surfing google and, since I found out a solution, decided to share some knowledge.
Be warned though, that this isn't a miraculous solution, since in my case, even after I've successfully connected to the WoW server, I suffer from high-ping and eventually I suffer a ping timeout of sorts (can't detect other players via the Social Panel, can't rez, etc...). Even still, I think it's worth it to share what I've discovered, since there might be someone out there who knows how to solve this.
It would seem that if you run HTTP Tunnel & SocksCap on your machine, you're able to bypass the firewall and connect to the Blizzard servers. I'm currently on my college where we have a proxy server set up to block all kinds of stuff, including P2P, IRC, etc... when can use HTTP connections and apps that allow that kind of proxy configuration, but that's pretty much it.
Anyway, on to the good stuff:
After installing both apps, run HTTP Tunnel. The configuration is pretty straightforward... just input your proxy and port number, check to see if it requires auth, test it and you're set!
With SocksCap, you access the settings, indicate the SOCKS server as 127.0.0.1 and port number as 1080. As I understand it, this configures it to access through HTTP Tunnel. Check the SOCKS Version 5 option and the 'Supported Authorization' if you require it (on 'Name Resolution' I've set "Attempt local then remote").
Then close the settings panel and click on New to add a new app to SocksCap. Click Browse to choose the app you want, and the other fields should fill up automatically.
Now, restart HTTP Tunnel. It should connect you automatically. Wait until you get the 'SOCKS 4/5 server successfully started' message on the Log before you continue. Once you get that message, click on the app you want (in this case, WoW) that you configured in the above step and then click on Run (or just double click the icon).
If all goes well, WoW should start up and you won't get any problems connecting to the server.
Again, I stress that,
in my case I suffered from high-pings (5556ms) and an eventual timeout. If anyone manages to refine this process, then by all means, share it with me.