Running WLM through a proxy

[blueparukia]

Hey,

Basically I want to play around with proxies and the changing of IP addresses. Basically what I want to do is run the Internet and Windows Live Messenger through a proxy so the IP is different then my true one.

Now I saw a connections tab in IE (6, on clean install of XP) that seemed to let you do it, but I'm not quite sure exactly what to type in what boxes.

Thanks