Before you installed Proxomitron, you were connecting to the
internet through a proxy server, is that right? If so, all you
should have to do is put the proxy server address that you used
in Opera, into Proxomitron. Then you have
to change the proxy server configuration in Opera to point
to Proxomitron. As you said, Proxomitron has to be between
Opera and the external proxy server. So Opera should point to
Proxomitron, and Proxomitron should point to the external
proxy server. The standard port that Proxomitron listens on
is 8080 (although Arne used 8081 in his example).
When you said you ran the proxy settings test in Proxomitron, and
it went to 127.0.0.1, 127.0.0.2 or 127.0.0.3, that puzzles me.
I don't use external proxies so I've never run this test, but
it shouldn't go to those addresses. 127.0.0.1 is your own
machine, which would imply that proxomitron is talking to itself!
Normally "localhost" and "127.0.0.1" are two ways of referring
to your own computer. In the External Proxy Selector window of
Proxomitron, you should not have either localhost or 127.0.0.1