If you are only concerned with a proxy for web browsing, you can simply set the proxy in your browser. If you are using Firefox, you set this in
Edit > Preferences > Advanced > Network > Settings.
Proxy settings can be entered elsewhere for different parts of the system (e.g. for your package manger), but the details will depend on which distribution you are using.
This thread may be of help.
If you need more, please say which distro you are using.