best proxy servers to use, in my opinion, would be Winproxy or WinRoute. i use winroute personally, because u have to pay for winproxy. but if u pay for it (or get a crack for it) it's really very good. supports everything. winroute is also good cuz it's a firewall too.
if you're looking for some freeware, try AnalogX or SpoonProxy. Those 2 freeware proxies give a lot of packet loss in games (or at least they did for me). so if yur a hardcore gamer like me, then go for Winroute or Winproxy. but if all u do is surf the net and email, then the freeware should be fine.
good luck