Select the View menu, and then select the Options menu item. Select the Connection tab.
In the Proxy Server area, click the box next to Connect through a proxy server until a check mark
appears in it. If there is the Settings button, press it (some versions of Internet Explorer have
this button, which displays a separate dialog box, and some just include the contents of that
separate dialog box directly into the Connection tab). In the text area next to HTTP Proxy enter
the string localhost (one word, no spaces). In the adjoining Port field, enter the number 4128.
Click the OK button.
If you previously pressed the Settings button, press the OK button again.
Important: Make sure that this is set only for HTTP protocol
and do not change settings for HTTPS, FTP, Gopher and Socks protocols.