You just need to tell all your Internet-aware programs to use the proxy you want. In Internet Explorer, it's done in the LAN settings dialog, and you can even tell IE which protocols should use what proxy. Other programs have their own methods of identifying the proxy, but it's basically the same idea.
Now, the bad news. If you're trying to defeat the proxy the school is using, you're either going to fail or tick off the network folks, which can cause them to cut off your network priveleges.
If you're using the school's network, you have to play by their rules. Not because it's the responsible thing to do, but because they control every aspect of that network; if they did their job correctly, you won't be able to get around their proxy at all. Further, attempts to avoid or defeat the proxy may violate the terms of service that you agreed to (whether you knew it or not) when you got your network account-they can cut you off for violating those terms.