Indy HTTP client via proxy

I am interesting in using TIdHTTP to perform a GET of a URL like

http://some-host:port/...

where "port" is other than the default (80). When doing this via a proxy
server, TIdHTTP appears to re-write the URL and send it as
http://some-host/... so that the proxy server is then unable to connect to
the correct port.

Is it possible to have the URL sent with the port information intact, when
connecting via a proxy? Internet Explorer, for example, appears to do this.