How to add address of Proxy Server

When using Safari and other internet applications on the iPhone I cannot access the internet pages on my iPhone but when I use Interenet Explorer on my Windows machine using the same internet address and the the same wifi connection all is OK. The wifi connect works OK because I can access email.

In Microsoft Internet Explorer the only way it works is by entering a proxy Server address. How can I set this for the iPhone?

Thanks Lachlan