This is a direct continuation of my last blog post, which could be found here. Also you will need to read that post to understand why you should use a proxy.
http://geeks.pirillo.com/profiles/blogs/insider-secrets-iplayer

It’s very easy.
Open System preferences

Click on Network

Click on Advanced (shown highlighted)

Click on Proxies (shown highlighted)

Click on Web Proxy (HTTP) and fill in your proxy details.

Remember to also fill in the proxy details for the Secure Web Proxy. Please note that this may not be the smartest thing to do, security-wise.

Click OK, then click Apply.
If it doesn’t work, you must have done something wrong or your proxy server must be down.