The following instructions only apply to virtual hosts (proxies) requested before 2011. Most virtual hosts created since then do not use the Reverse Proxy servers. So, before you get started, check to see if your virtual hosts does use the reverse proxy servers.
Using Wordpress with your proxy URL doesn't work. You can access the site using the proxy URL, but Wordpress still creates links using the full path. Changing the WordPress address and Blog address in the General Options page sends the site into endless redirects.
This is mostly likely caused by a proxy URL handled by the legacy reverse proxy servers. You have two options. The first is to submit a HelpSU ticket to have your proxy URL changed so that it's not handled by the reverse proxy servers, but by the WWW servers instead.
The second option is to install a plugin which will help with this issue. Download the Reverse Proxy Plugin.