1. First use your menu button and select "Settings."
2. Select "Wireless & networks."
3. Select "Wi-Fi settings."
4. Switch on and Connect to your designated WiFi network.
5. Once connected press the Menu button again and select "Advanced."
Here you have a "Wi-Fi Proxy" option.
Enabling this allows an IP Address of a Proxy Server and Port to be entered.
TIP: The proxy settings in Android 2.3 can also be accessed in the Internet Browser settings.