Proxy support for Synaptic Package Manager.
Start the software and click Settings-> Preferences-> Network Tab. Click Manual Proxy Configuration and enter your proxy information. If you have to login to the proxy then use the host format username:password@host.
Proxy support for apt-get package management
Define the http_proxy variable in the format http://host:port/. If you have to login then use the format http://username:password@host:port/. To define this variable add the following lines to the root login file /root/.bashrc.
Proxy support for Mozilla Firefox
Start Mozilla then click on Edit->Preferences. In the General section click on Connection Settings. Enter your proxy infomation here. If you have to authenticate against your proxy then Mozilla will prompt you for a username and password.
Proxy support for the Gnome desktop
Click on Computer->Desktop Preferences->Network Proxy
Enter your proxy information here. How do you enter proxy auth here?
When you find more proxy configuration steps for other applications then post it as a reply to this message. One day in the future this will be a simple applet that will ask you proxy settings and configure all this for you. *hint* *hint*