Okay, is quite easy to enable agent proxy for single server, but what about you have to enable more than 50 servers ? a bit tiring right ?
So my internet friend Boris Yanushpolsky create a tool that facilitate it so you can bulk enable 
. How to use it ? pretty easy .
Double clict the application, click File > Connect
Type the RMS name, click Connect
There you go, a lot of group appear, click one of it then at the right pane will list all the server, right click the server that you want to proxy enable then choose Enable proxying
You can download ProxySettings. Enjoy! 
Boss : please migrate server A which is a VMs that running at Virtual Server 2005 to Hyper-V right away.
Me : roger that boss!
back then I was thinking: “Hey, where’s Server A physical host ?” , after do some searching at the internet, is quite easy. Actually, the physical host is stored in the registry at this location:
HKLM\SOFTWARE\Microsoft\VirtualMachine\Guest\Parameters\PhysicalHostNameFullyQualified
ok, that’s it. I got the physical host and ready to move it! 