The easy answer is: yes. Lots of famous philosophers (for
example, Spinoza, Kant, Aquinas, Descartes) have written "proofs".
The question of whether it's possible to "prove" anything
philosophically is obviously open and obviously depends on how
rigorous a "proof" you want. The term "proof", broadly understood,
is usually replaced with "argument" in philosophy. An argument is
an attempt to show how a certain conclusion follows from a set of
premises. etc. Specifically relevant to this issue are:
http://en.wikipedia.org/wiki/Argument
http://en.wikipedia.org/wiki/Formal_proof
http://en.wikipedia.org/wiki/Foundationalism