A proxy is basically a server.
If you have the proxy:
34.54.65.76:8080 it means that a computer (VPS, dedi), which has the IP address 34.54.65.76 has a proxy server running on port 8080.
To set up your own proxies, you first need servers, with different IPs. After you get those, you have to setup a proxy servers, like squid, to actually be able to use those IPs from different locations.
It's not rocket science, actually rocket science might not be rocket science after all lol, but it's not a job for newbies either.
I suggest you to just buy proxies from a proxy provider, it will be easier for you.
Good luck