Yes I use a some kind of proxy (iptable ip masquerade). The upgrade to fedora core 5 was just the usual one through CDs and didn't solve the issue. Solution is : upgrade (by hand cause yum is not working...) to glibc*2.4.7. (was out today on the FC5 update site) I downloaded : glibc-2.4-7.i386.rpm glibc-devel-2.4-7.i386.rpm glibc-headers-2.4-7.i386.rpm glibc-utils-2.4-7.i386.rpm glibc-common-2.4-7.i386.rpm and then installed it with : rpm -Uvh glibc* and now, wget and yum are working behind a "proxy". Problem solved for me.
