Shoutbox

It asks me about SOCKS and a port number thing next to it.

Also username and password under it.. I found a list of "anonymous" proxy servers to use but none of them work for MSN, how am I suppose to log on?

If it involves Internet explorer, please tell me what to do

Anonymous proxy servers usually are HTTP servers, and if they are, you don't have to change anything in SOCKS.

Just put the correct info in the HTTP Proxy settings.

MSN takes its proxy settings from Internet Explorer

As long as you can access the internet using internet explorer then messenger should work fine too.

Do you need a proxy server to access the internet?

http://www.aliveproxy.com/socks5-list/
u won't get results with a http/transparent proxy