Just enter the proxy into your IE properties and you're done. I have a Linksys router and use proxies all the time, I need not to make any changes in my router. If you're using DHCP on your router it has supplied you with your default gateway (e.g. 192.168.1.1). That's how you get out of your internal network and has nothing do to with proxies.
Mine is greyed out to. I use the LAN settings tab to configure all of my proxies. Make sure that you're using the correct IP+Port number when you are setting it up. Here is a proxy server and port number that you could try.