You said all your classes you have in the queue are serializable. You've checked and double checked com.downloadengine.model.connector.proxy.ProxyPool, right?
Was this class not serializable and you recently changed it to be serializable? Have you made sure the updated class has been distributed everywhere it needs to be? If the exception occurs on an application server, have you rebuilt and redeployed the application (WAR, EAR)?
Does any of the methods of this class return an inner class? I don't think that it is this class that's the problem. It looks like the queue has an inner class of this class (which is not serializable).