|Normally a proxy is setup for a company install, not a home install.|
There are a few ways to implement it also. Proxy.pac files and the newer files for that. Also direct proxies and proxies that require logins.
We'd need to know what you have.
"Best Practices", Event viewer, host file, perfmon, antivirus, anti-spyware, Live CD's, backups, are in my top 10