How does one get a Proxy connection?

How do you get a Proxy Internet Connection?

Does this make it safer to use the Internet and free you from problems like that of Internet Explorer vulnerabilities?

But even if not, how can you get and set up a Proxy Internet Connection and make sure its compatible with your ISP?

Any information would be appreciated. Thanks

Maybe the attached picture will help.
If you use a router, that port (12080) must also be allowed access.

I use Comcast Cable and setting up a proxy server is my business. You should check with your ISP.

Click on the picture to enlarge it!