I watched this shockumentary which showed an American man, possibly a
politician, hold a press conference where he talked about some sort of
scandal he was involved in.

He stated that his family was suffering a lot as a result, and that he
hoped one day he would be cleared of everything and his innocence
would be proven. He then pulled out a gun and shot himself.

My questions are:

Who was he?

What was the supposed scandal?

Was he in fact later proven to be innocent?

Are there any websites that explain the whole thing?

Greetings -
 
Who was this man?
I believe the man you're speaking of is Pennsylvania State Treasurer
R. Budd Dwyer, age 55 at the time of suicide.
 
What was the supposed scandal?
In 1984, Dwyer allegedly had accepted campaign funds from John
Torquato of Computer Technology.  In exchange for funding, Dwyer
credited Torquato with an overpaid Social Security recovery contract
worth 4.7 million dollars, by not inviting other bids. Two company
officials had admitted offering a $300,000 bribe. Dwyer faced
additional charges on  four counts of interstate transportation in
aiding racketeering, five accounts of mail fraud, and one of
conspiracy to commit bribery. If convicted, Dwyer was facing up to 55
years in prison, up to a $300,000 fine, and the loss of his job upon
sentencing.  His response to this was his holding of a press
conference in which he spoke for 30 minutes, saying he was innocent,
while accusing other government officials of conspiring against him.
He then pulled out a gun from a manilla envelope and shot himself in
the mouth.

Was he in fact later proven to be innocent? 
I am unable to find anything that says anything to this effect.  If he
was innocent, I would think he'd spend the rest of his life trying to
prove it.  Or maybe he thought he had no way of proving it.

Are there any websites that explain the whole thing?
http://meltingpot.fortunecity.com/belarus/651/full.html
http://members.fortunecity.com/budd3/nyt.html
http://meltingpot.fortunecity.com/belarus/651/who.html

Search terms:
"press conference" scandal "shot himself"
Budd Dwyer

If you need additional information/clarification, please ask before
rating this answer.  Thank you.

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Request for Answer Clarification by markabe-ga on 13 Jan 2003 21:49 PST

Wouldn't there have been some sort of inquiry to find out, among other
things, whether or not he was actually innocent?

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Clarification of Answer by jbf777-ga on 14 Jan 2003 12:50 PST

Hi -

Please see this site for some information on this:

A Tribute to R. Budd Dwyer [The Man Behind the Tragedy]
http://members.fortunecity.com/budd3/inno.html

Let me know if you need more info.

Thanks,

jbf777-ga

Excellent answer, plus the clarification I needed.