Are they supposed to work through web browsers? I tried using one through Firefox, but it won't even let me put in a password.
Use Maxthon browser, it lets you put in authentication (ID/PW). Or you can also use Proxifier and it'll proxy-fy everything. all browsers/game clients.
https://support.mozilla.org/en-US/questions/926378 This article explains how someone else got their proxy to work. I would try it out maybe it will work. It involves switching up the configuration of their folders.
Entunnel is also a useful light program. You just need to setup your proxy with that and then change the settings on your Firefox browser to work with Entunnel. If you need help pm me.
Socks5 proxies are different from web proxies (sort of). A socks5 proxy is usually an address that you can use to redirect your traffic. It works like a very specific VPN where you output your traffic to the proxy directly instead of running software that does it for you. A web proxy just makes socks5 proxies more accessible, but they generally only provide you with one usable address. Socks5 proxies become very useful if you have a series of instructions that you want to scatter across many addresses (this is a technique used in a lot of password crackers to circumvent guess limits for example). Depending on what you need it to do though, I would recommend a VPN. If you just want to browse some sites at work or school a web proxy will do just fine, otherwise look into a VPN.