The default way is to click on the wireless connection icon in your system tray, select view available networks, select the one you want to connect to, and add the security info. Now different wifi mftgs can take over the connection settings so you might have to use theirs instead. Proxy settings should be the same for hardwired and wireless connections, unless someone decided to send wifi traffic out a different proxy, which wouldn't make a lot of sense.
Is it on a desktop or laptop you want to setup wireless connection?
if its on a desktop, not all desktop come with builtin wireless NIC but you might be lucky to have yours come with one,if not you will have to purchase a Wireless NIC for you to go wireless.
If its a laptop, you already have it in built into your laptop,
Proxy Server acts as an intermediary it accepts request from clients and forwards it to the server, to setup one you will have get the address of the proxy server from your net admin.Proxy Server usually handles both wired an wireless connection i guess
Follow this steps to configure your a proxy server settings on your computer.go to
Internet Explorer 7 or 8
1.go to Tools Tab
2.Select Internet Option
3.Select the connection Tab
4.Look towards the end of that connection, you will see LAN Settings select it.
5.Under Proxy Server, select use proxy server for my LAN
6.Enter the Proxy Server address you got from your net admin
then click on OK,
7. click on OK on the main page (Internet Option).
Its settings its almost similar with Mozilla Firefox too
then you are good to go i think.
hope this helps