Setting up a proxy can be very difficult. First you need to understand what they are and how they work. Truthfully you should have been able to read the information on the link I left and followed some of the links in it to figure out how to do it, and what type of proxy to use. The link below should have the info you need to set up a proxy. But if you do not read the info and understand it you will probably have problems setting it up, If you can at all.
http://www.freeproxy.ru/en/free_proxy/howuse.htm