That's to say in the address bar for the proxy in IE settings you'd put down all the proxies [port 80 or 8080, depending] and for the last proxy you would put the port number in the port box by the side.
All these methods have worked for me in IE, but I did get 'reports' that it wasn't the case for some other people. Try and see what it works. Remember that one proxy down means the chain is not going to work.