I assume you don't want to get really technical here with port forwarding, X-forwarded for and all the rest of that.
Depends upon the program/browser/OS.
Generally though you go to the settings in a program (presumably in this case your web browser) and enter the proxy information your proxy tells you to use (will usually be a type of proxy, IP address and port).
Some things might use/need a system wide proxy. In which case that is going to be somewhere in the network settings.
These days I generally find nobody really uses traditional proxies. Instead it will be something like TOR or most VPNs you see advertised on all your favourite youtube channels allow you to pick your "endpoint" to appear in a different country for most purposes, that or remote control a computer in the place they want to be in (I quite often remote control ones in the US when I want to appear like I am in the US with something like teamviewer).