A lot of Android devices do not give the user access to proxy settings, and a lot of people are getting into problems by installing an app which gave access to the proxy settings, but once only. I no longer have the app, or its name, but “check before you change” is a good motto.
I recently did this on my Asus Transformer, and then when I tried to go to Market it wouldn’t let me past, or wouldn’t take me to an authorization form anyway. Then, because the Proxy things couldn’t be acessed anymore there was no way to change it back.
Google came up with Anycut by Jeff Hamilton, but I had to sideload it by going to
on another computer, USB-sticking it on my tablet where luckily I had already installed FileManager HD which gives me a few extra features over the default file manager, namely click and install. I had to allow 3rd party software first in my settings, so do that but don’t forget to change it back again afterwards.