Do you know what a proxy is? Are you sure you need to connect through a proxy? Do you have a real reason for doing this?
To me, it
sounds like you've heard about "proxies" which can be used for various things, and thought it would be good to use one, but don't have a clue where to get started. Well,
this guide is about as good as it gets.
However, if you have no real need to use a proxy (and ban evading, or evading a block set by your work/school/university is not a real reason), then I would strongly suggest you don't even attempt to use one. Using proxies that you find listed by other websites isn't going to work, they are
open proxies, and almost every network nowadays has scanners which check for open proxies when you connect, and automatically ban you if found.
Have fun!
Regards,