Before running make you must change DOMAIN in src/cert/Makefile.am to the DNS name of you proxy server. This DNS name must match what your should entered in N900 settings below.
~/prov/supl% grep -Rin nokia supl-1.0.6/src/supl-client.c:307: server = "supl.nokia.com"; supl-1.0.6/src/supl-client.c:307: server = "supl.nokia.com";