It would be of great help to us if you told us why you think you need a proxy? Maybe there is anothe solution to your problem? What is the problem?

To use a proxy, just simply put the proxy server and the port into your web browser settings under proxy settings.
In firefox, click on EDIT - PREFERENCES - GENERAL - CONNECTION SETTINGS - MANUAL PROXY CONFIGURATION and in the fields below enter the proxy adress and the port that is uses. But as i said above, whats the purpose?

Cheers.