inoozemec about covered it in basic terms there for ya. You would start by buying let's say 15 servers, 3 each from 5 different data centers. You'd then buy up additional IP's for them and then install the proxy software you'll be using depending on your operating system and whatever other requirements you have. Depending on the specs of your server, and the quality you want, you can host quite a few IP's from 1 server. Aside from that, there's port scanning which would involve using an application (ex. proxyfire) to scan ranges you would specify in the hopes of finding enough open proxies. That can be very time consuming though and takes a little trial and error so you can build good ranges to scan. Those are much more unreliable though by nature and would require you to constantly be scanning so you'd have a big quantity. Most of the services you see involve someone with a few VPS's or not but they're usually scanning constantly to keep big lists like that available.