how to set up proxy in my system
 

Hey I wanna set up proxies in my system.When I browsed the net the general method of setting up the proxy by
Internet options -> connection -> lan settings-> enable proxy way does not work for me .When I open IE it says error 404

I just wanna know if it requires permission from ISP provider or any particular software...

Have anyone tried setting up proxies pls let me know how.