If you are wanting to set up a proxy server, then I recommend that you look at Samba.
To use a proxy server, you don't need to set one up yourself (eg. your ISP will usually have one that you can use).
Either way, you need to enter the proxy configuration into your web browser. On firefox, you can use Tools/Options/General/Connection Settings. Set the server name and port (often 8080 for some reason).
You can also set up a PROXY environment variable to contain the servername
ort to use (your system config tool might have a nice GUI front-end to doing this).