It's not really "proven" as such, but there's a lot of evidence at the moment pointing in its general direction. Why don't people "believe" it? There are a lot of reasons for this. A few include:
1. Conspiracy Theorists (CTs).
There are people who always love a good conspiracy, no matter what the evidence - especially when it comes to science (eg, moon landings, artificial sweeteners, biological evolution). I don't know why this is, but I suspect that they just find a lot of science generally hard to understand, and so decide that scientists must just be making it up. Some CTs do it just to gain notoriety/fame.
They also love the idea that it's all a plot for money. This is the most bizarre of all, because scientists and researchers are VERY poorly paid in almost all countries. No-one ever got rich studying climatology. I even know a microbiology scientist who became an airline flight attendant because it was much better pay!
2. Politics.
Although global warming and climate has been studied for decades and the scientists doing it have worked under plenty of different Governments, as soon as Al Gore got involved, one side of politics suddenly got angry and decided it was all a plot from the other side. As silly as this is (like I just stated - the science has been around for decades and through many Governments), it has now taken on a life of its own.
3. Unwillingness to accept the unpalattable.
Another strange thing about human behaviour is when people feel they're being blamed personally for something. Some feel that scientists are saying they're personally responsible for global warming. This isn't quite correct. Scientists are just pointing out what the evidence suggests - that with rapid and exponential industrialisation and population growth, humanity is starting to upset the balance of nature in some areas. One of these is CO2 emissions and the consequences.
Nowhere is the human impact on nature's balance more apparent than places like the Northwest Atlantic cod fishery, which has been wiped out by overfishing and will probably never recover (there are no signs yet at least, and it has been 15 years!). Or the Aral Sea, a very large sea which was once full of water, fish, and life, but is now completely dead - all due to human activity.
4. Accepting dumbed-down/illogical arguments and intellectual laziness.
Some science is complex, and some people are inherently lazy. They will not take the time to research or learn or understand the science, and when someone else presents them with a simplified counter-argument, they default to what they think is easiest to understand - even if it's completely wrong or illogical!
A classic example is when the sceptics talk of what is happening on other planets, which is usually totally unrelated to what is happening on Earth! Or when they say it was a cold winter, so GW mustn't be happening, which is connecting two unrelated things (seasons due to the Earth's orbit and the tilt of its axis, and long-term global climate).
There are heaps more reasons, but it'd take too long!