you need to visit the Yahoo mail and the Gmail sites and get the details there of their POP (receiving) and their SMTP (sending) servers.
Then, in Kmail you set up a new account ( under Network if I remember rightly)
Put in the details as copied from the websites (Gmail uses a secure port system so the port numbers are something like 465 and 995 where I think yahoo is still 110 and 25)
put in your details as you want people to see them and you are away.
When it comes to wring a new email, you have the choice of which addresss you want to send with at the top of the email (it possibly says default at the moment)
I don't understand your question regarding the proxy server as I understood your Kmail was working ok, so your internet connection works. Which browser are you using?
Hope my memory is good enough to help you!