to see if it's already compiled in your apache. If it's not then you can use apxs to compile it:
apxs -i -a -c mod_proxy.c
Perhaps you have to compile also some other module to make it work. Then use LoadModule in you httpd.conf to load those modules into apache.
If mod_proxy is already statically compiled then you have to rebuild apache if you insist to use mod_proxy as a DSO.