I have an update/more info, but no idea if it's any help..
I'm on a wireless connection usually. I do as it says in the tutorials and everywhere else online and put the IP and port info into LAN settings. When I do this, nothing loads. I have a USB internet that I tried with it as well. When I use the LAN settings, it still does not work. However, when its connected, it shows up in the Dialup and VPN settings box under internet properties>connections, and it makes the settings box able to be clicked on. When I type the proxy into there I can get it to work.
I need to be able to use it on my wireless connection though, and I don't understand why it isn't working the same way it seems to work for everyone else. I've tried turning off firewall, AVG, deleting all history, restoring default browser settings, as well as a fairly extensive search of google on how to fix it, but to no avail. Sigh.