First off, be responsible when using a proxy. Proxies should not be used to mask illegal activity you may be partaking in. Also keep in mind that you may be kept anonymous with a proxy to some law-enforcement, you are not above the FBI in any means. If you do something wrong, they will find you, so please be responsible for your actions as I will not be held liable for any misdeeds caused by my tutorial.
To begin using a proxy, you will need the necessary software. Personally, I would suggest using Google Chrome as your main internet browser, and Firefox as your proxy browser. You will then need to download Tor, or more specifically, the Vidalia bundle from the following web address.
I did not receive a virus from this download, however, I do not monitor this websites spyware activity so be cautious when downloading from non-trustworthy sites.
http://www.torproject.org/index.html.en
Make sure you select the correct Operating System when choosing your download.
Once you have properly installed the Vidalia bundle, check your Firefox browser from an add-on called TorButton. If you do not already have it, you will need to install it.
https://www.torproject.org/torbutton/
Now to use the proxy when surfing the web, open Firefox and Vidalia. At the bottom right of the Firefox window you will see TorButton with an indicator of whether it is enabled or disabled. Make sure you enable TorButton. Bring up Vidalia and activate it by clicking Start Tor. To check if you are currently accessing the internet via a proxy, go to http://whatismyipaddress.com/ on Firefox. If your IP address is now listed as a foreign IP (different from your original) then you are successful.
If the proxy server you are currently running on is excessively slow, go back to the Vidalia Control Panel and click Use a New Identity.
Note: The majority of proxies will be extremely slow as they are running out of another country. You may View the Network to see a list of available Tor proxy locations.