In this tutorial, I will be showing you how you can connect the proxy server via the internet options in Internet Explorer. Once setup here, your traffic should be automatically routed to your proxy.
In order to follow this tutorial, you will need the following
Setup the Proxy
In IE, you will need to go to Tools - Internet Options
Once you have the Internet Options Window Open, you will need to go to the Connections tab and click LAN Settings
In here, you will need to click the Check Box which says Use a proxy server for your LAN (These settings will not apply to dial-up or VPN Connections). You will then be able to put in the IP address of the proxy server you would like to connect to followed by the port you will need to connect on. You can then click OK to the open windows to apply the settings. If you require a username and password to connect to the proxy, you should be prompted of these.