that link just tries to open iTunes.
That's what is supposed to happen. Links to any part of the iTunes Store only work through iTunes. But to the best of my knowledge, that is indeed the URL iTunes uses to get to the main App page. But that's not going to be enough for working with a proxy server if it's only allowing specific URLs to connect.
If you need a full specific URL for the proxy server, you're probably not going to be able get one that will work since the iTunes Store uses multiple URLs and URL formats depending on the country and where in the store the user is attempting to go. If, however, the proxy server is filtering by domains, try adding these:
apple.com
itunes.apple.com
phobos.apple.com
phobos.apple.com.edgesuite.net