Setting whole internet connection to go through a proxy?

[migo]

I know how to make Maxthon connect through a proxy, but I'm not clear on how to have the whole connection go through a proxy.

I'm tethering my cell phone and having it set up to connect through a specific APN. This APN has a proxy requirement, and I have the IP address for the proxy. I've done right click and properties and clicked every tab and such that looked relevant but I can only find options for setting my own IP address, or chosing an alternate DNS server.

I'm running Windows XP right now.