Step 1
First of all you will need proxy servers (proxys) for your Internet Browser. You can get some free proxy servers for test here or you can buy VIP access to have fastest and most stable public proxy servers here.

Step 2
Good! You have proxy server(s), lets say that one is: 210.176.165.168:3128. Now you will need to start Firefox. Click on Tools menu and select Options in the list as shown below.



Step 3
Depend which version of Firefox you have you will see different windows:

Firefox 1 - Click on the General tab, in the Connection section click on Connection Settings button as shown below.


Firefox 2 and Firefox3 - Click on the Advanced tab and after on Network tab, in the Connection section click on Settings... button as shown below.


Step 4
Click on the radio button Manual proxy configuration as shown below.


Step 5
Type your proxy servers IP address in HTTP Proxy field and proxy port in Port field as shown below.


Step 6
Click the box Use this proxy server for all protocols as shown below.


Now you have successfully setup proxy for your browser. Click on the OK button two times to get back to the main Firefox window.

Foxy Proxy is totally different software (addon).

I will not suggest anyone use that addon since it is very complicated and designed for very professional users. I am working with proxy severs every day for last 8 years and even for me Foxy Proxy is very uncomfortable. Too much options are never used by 99% of user and are added (by owner) just to impress beginner users... most features are hard to reach and some even to find Nothing personal but before we created our own addon, we tried most available products on the market
 
Instead I will suggest you to use Premium Proxy Switcher (https://addons.mozilla.org/en-US/firefox/addon/161958/) which is really easy and contains all features you will ever need (it misses proxy checking on client side but I think we will add it shortly )

Case you will have more question please ask