How to configure a free proxy

System Preferences -> Network -> (interface) -> Proxies.

Enable whatever proxies you want (presumably HTTP) and enter the hostname (or IP address) and port number for the proxy you want to use.

I see I can choose Web Proxy (HTTP) under "select a proxy server to configure." (Left of window)

Right - you can use a number of proxy servers, one per protocol. They could be the same proxy server each time, but don't have to, which is why there's a range of options.

Then, on the right it says "FTP Proxy Server). Is this where I enter the IP address?

Really? You're sure it says 'FTP Proxy Server' when you select HTTP on the left hand side?
If so, you're not looking at the same options as I am.
You should have two fields - one for the hostname (or IP address) of the proxy server you want to use, and another for the port number on that server.

Or, is it below under "Bypass proxy settings for these Hosts&Domains."

The bypass field is for hostnames that you do NOT want to proxy the connections for.
Typically you wouldn't need to proxy local services - those in your own network, so you can exclude them by listing them here.

Below that it says se Passive FTP Mode (PASV°. Should this be checked?

That's irrelevant, unless you're using FTP, and then it depends on the FTP server you're connecting to.

Above,, it also says "Configure Proxies". Choices in drop down menu are: Manually, or using a PAC File.

A Proxy Auto Configuration (PAC) file is a file stored on a central server that contains all the proxy server settings. They are commonly used in large corporate networks where the admins can make one change and have that change pushed out to all the clients, rather than having to walk through each machine in the company, one-by-one.
If you have a server with a valid PAC file you can specify it here instead of configuring each proxy server by hand.

So, which do I want? FTP proxy, Web proxy, secure web, etc.

How can I tell?

You're the one that knows what protocols you want to proxy.
If you want to proxy HTTP, then enable the HTTP proxy and enter your HTTP proxy server address.
If you want to proxy FTP then enable the FTP proxy and enter your FTP proxy server address...
I can't tell what one(s) you want to do. I had assumed you knew.

Also, do you know a good site to find these free transparent proxies?

Nope, sorry.

Finally, will they slow down my search speeds.

That depends on your choice of proxy.
Any connection you make will be passed to the proxy. It will forward the request for you, retrieve the response from the server and pass it back to you. Therefore you are entirely dependent on the speed of the proxy server itself, and its network connection.

There are two common uses for proxy servers, one is to (attempt to) anonymize your traffic, the other is to improve performance. The latter usually occurs when you have multiple people sharing a network connection (e.g. in an office) and the proxy can cache frequently used data.
In general, unless the proxy server you choose is directly between you and the site you're accessing, you're not likely to get any performance increase.
In addition, since anonymous proxies are sometimes used for... umm... less than honorable reasons, they are sometimes blocked by servers.

In other words, don't expect your web browsing experience to be any better for using an anonymous proxy.

I'm just trying to stream shows from the ABC site.

This will only help if they stream content over a protocol that your proxy supports.
For example, if they stream content over HTTP, you're probably OK, but if they use something like QuickTime's RSTP, RealPlayer, or (heaven forbid) WMV then setting a web proxy will have zero impact - you're not going to use it anyway.