You have to put a proxy that proxy on the port you want to use i.e you want HTTP anonymity then your proxy server you use will operate on port 80, you want TELNET anonymity then the server must operate on port 23. Follow this link for a list of proxy servers: http://www.proxy4free.com/page1.html
That's not wat I meant. The thing is that me and my network admin at school play games back in forth where I try to find holes in the security and he tries to patch them. So what I was trying to do was run an SSH Server from my house to the school therefore bypassing the firewall. But for that I need to use a SOCKs Proxy server. However, changing the proxy settings is disabled in my web browser so I wanted to know is there any other way I can change them?