It's hard to tell you where you went wrong if you don't explain what you did.
Make sure your proxie list is recent and fresh, or that you have a paid proxy subscription (yes these do exist for commercial reasons, think china)
Ping the proxy server on the appropriate port to see if it responds.
Assuming the server is live, enable the proxy extension with said server and try to find a page that will spit back your IP at you.
http://www.whatismyip.com/ come to mind. If the IP it lists is the proxy's IP, then your good to go.