The mIRC proxy settings can be found in
ALT+O > Connect > Firewall and by typing
/help firewall in mIRC. Rather than reiterate on a document that provides a myriad of information, it's good to look at
this document for further help with setting up proxies.
Remember that connecting through "open" proxies will probably get you banned from most networks/servers due to the abuse that often originates from them. Also realise that it can be a complicated procedure, and unless you're a little bit knowledgeable on the topic you may find it difficult to set up - not hugely though

As a bit of info for board etiquette, for the sake of people that may search the board in the future for help with this topic, it's a good idea to make the post subject something that relates to what you're asking about so people can click it if they think it may contain help. For example, "Setting up a proxy server" would be better than "I NEED HELP". Also, CAPS is considered shouting, and it won't get you helped any faster

Hope those links help!
Regards,