In Internet Explorer, go to Tools, then Internet Options..., then select the Connections tab. Click the LAN Settings... button toward the bottom right of the window, then check the Use a proxy server box and click the Advanced button to specify the proxy settings.
In Mozilla, go to Preferences from the Edit menu. Double-click on Advanced and select Proxies. Select Manual proxy configuration and enter the proxy settings.
In Opera, go to Preferences... from the File menu. Select Network and click on the Proxy servers button to specify the proxy settings.