Sorry if this isn't very comprehensible
Proxies and VPNs are generally separate things, though you could technically connect to a vpn and then still use a proxy
If you want to use a vpn, then you need to use a special vpn client and connect to a vpn service. You generally wouldn't be able to have the vpn client connect to a regular proxy address you'd find on here.
There are ways to tunnel a vpn over a proxy, if for example you need to use a proxy to get onto the internet, you could tunnel your vpn through your proxy
Free proxies are generally a whole lot easier to find than free vpns as there is less required on the server.
There are also proxy websites you can go to that are like a dumb-downed version where you don't need to change your browser settings. You go to their site and their page is like a proxied browser inside your browser.
As to your original location question, it depends what you're trying to do/hide. Having things close is generally faster, but if you're trying to really hide things you want to make sure it's fully anonymous, etc, as most proxies give away your info in the headers. If you're trying to access geo-located content, then you'd want a proxy that's in the area you want to access. For example, if you're in the US but want to access certain content on the BBC that's available in Britain/Europe only, you'd want a proxy over there.