I think the problem with the proxy bidding on eBay is that (and I say this as a newbie, since what you described happened to me when I bid on my first eBay item - a compact flash GPS card for my Dell Axim). I posted a bid on something, and because my bid was lower than the proxy bid of someone else, it IMMEDIATELY told me I was outbid. So I raised my bid (as rayt333 mentioned) because I don't have ANY idea how much the other guy bid. As soon as I submit my new bid I got the same message saying I was outbid.
So really it's not the newbie's fault - it's the eBay system. It only shows you the first bid, and lets you know that you have been outbid, but it doesn't show you the new high bid. So it makes sense that you would rebid, in an attempt to get the item. It seems silly.