Aarmbruster, you didn't need to create an 'etc' folder. There is already one at /etc/ That preceding slash is very important. It tells the system to look for the directory right under the root directory (the root directory is '/'). The /etc/ directory is a very imporant, system-wide directory where many vital configuration files live.
What you need to do is to go to /etc and check whether there exists any such file as setproxy.cfg. Chances are, it doesn't exist. So try this:
That should show any files related to setproxy, if any exist. If none exist, then you'll need to use a text editor as root, to create one and add the desired information. So you could do:
ls -l /etc/setproxy*
for example, if you're familiar with nano. Use whatever text editor you're comfortable with, but NOT a word processor. If it allows you to format your text, it's going to make a mess of the config file, so use kate, nano, vim, emacs, gedit, or a similar plain text editor. But you'll need to do this as root, not as a regular user, because users can't write to the /etc/ directory.
sudo nano /etc/setproxy.cfg
Also, you should be able to run your installed program simply by going to a terminal and typing its name. It should be in your path - your PATH variable should include /usr/local/bin/. To make sure, go to a terminal and type:
That should give you something that looks like this:
As you can see, /usr/local/bin is among the paths included in the PATH variable.