you dont set the proxy settings on the router as the router works at a lower level in the network layer model.
Using a proxy is just formatting the http request in a special way and sending it to a different address, so even behind a router the web browser ( or machine ) does it.
the basic difference in requestin a page, say 'www.wibble.com/foo.html' is..
no proxy:
1) browser : send a request to
www.wibble.com for file /foo.html
2)
www.wibble.com : responds with foo.html ( or 404 error if its not there
)
with proxy (
www.myproxy.com ):
1) browser : send a request to
www.myproxy.com for file
www.wibble.com/foo.html
2)
www.myproxy.com : send a request to
www.wibble.com for file /foo.html
3)
www.wibble.com : responds ( to proxy ) with foo.html
4)
www.myproxy.com : responds to browser with foo.html
* of course if the proxy caches then it may not send the request in step 2...
all this happens without the router either knowing or caring...