OpenLayers.ProxyHost="http://myproxydomain.com/proxy.php?url=";

  var myWMSLayer = OpenLayers.Class(OpenLayers.Layer.WMS, {

      getURL: function (bounds) {
         var url = OpenLayers.Layer.WMS.prototype.getURL.call(this, bounds);
         if (OpenLayers.ProxyHost && OpenLayers.String.startsWith(url, "http")) {
             url = OpenLayers.ProxyHost + encodeURIComponent(url);
         }
         return url;
      }
   });