You would need to do one of two things:
1) Physically plug it in front of your firewall (in-line) with two network cards
2) Redirect traffic via WCCP on your core routers.
You may want to review your manual for your particular proxy server for their recommendations since some proxies behave different as compared to others like Bluecoat as example.
As mentioned above, the proxy server confitguration could be different depending on the software being used.
In general, you will have to configure the necessary services (http, smtp, pop, socks, etc), the necessary security policies (who can use the services, site restrictions, etc.), and some other settings such as cache management, logging, etc.