Ports closed?? wtf!

I have been messing around in the proxy world for some time and i cant seem to connect to a proxy with my browser. In internet explorer, i set it up and when i go to go to a web page it states: "web proxy" is not set up to establish a connection on port "8080" with this computer. I checked some ports and they all were "close" despite me having my firewall off. I really dont know whats blocking my ports. Any help will be greatly appreciated, its been years since ive even used a proxy through a browser.

Are you sure the proxy is really working ?
When using "public" proxies you'll have a very high fault-rate, they die like bacteria in alcohol .. only very few survive for a longer time

So first: make sure you've a working proxy.
Next: if you have problem with your browser try connect to that proxy using the telnet application, that way you can verify if you can do a TCP connect.
If you need help with that just contact me on IRC (nick is Lirezh)