> The connect() function doesn't work. The connection is refused. So how can 
> I check if port 8888 (tinyproxy listens on it) can send out http request?

Test first whether you can reach any Internet hosts at all with commands
such as:
  ping google.com
  wget google.com
on the proxy host. Simply put: if they work, the problem lies with
tinyproxy, if they do not work, your firewall setup is too strict.

In case you have a 'Bind' directive in the tinyproxy.conf, try removing it
or replacing it with
  Bind $EXTIP
where $EXTIP is the IP adress of eth0 (your external interface, I presume) 


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