Madder Hatter's Conundrum

If you are really want to run a proxy, why dick around ? Staying true to Open Source software and Apps whenever and wherever possible as usual,TOR, Vidalia with Privoxy is the way to go without a doubt. Firefox currently does not require you to use Privoxy. But to keep it simple and use all the default settings it's easier just to download it "As Is". This is a very effective Proxy. And probably more then or as good as most Secret Agents use. This is one of those swatting a fly with a sledge hammer situations and It's probably a guy thing, I'll admit but if you want the most powerful secure proxified connection possible go with this one. http://tor.eff.org/docs/tor-doc-win32.html
http://wiki.noreply.org/noreply/TheOnionRouter/TorFAQ#SOCKSAndDNS
Everything you'll need to know is there. And don't forget the Firefox add-on TOR button. Enjoy