it is the same with usual proxy configuration in ubuntu

1. Open your shell/terminal
2. type this line

[php]
export http_proxy=http://username:pass@proxyserver:port/
export ftp_proxy=http://username:pass@proxyserver:port/
export https_proxy=http://username:pass@proxyserver:port/
[/php]

here is the example
[php]
export http_proxy=http://brian:okeydoke@cache.kampus.com:3128/
[/php]

u must change the username, password, proxyserver, and its port with your own configuration.
Ask ur sistem administrator if u dont know about it

in KDE u can also go to menu setting and choose proxy setting