If you talk about HTTP based proxies, then forget about them now.
Eggdrop doesn't support these.
As for normal socks support, only socks 4 servers work (socks 5 is a whole new breed of unsupported code). See the config file for information these, as this is well documented.
Please read through the config file, as it ammount to plain lazyness, to ask us to read it for you, when you only have to find it to change it yourself.