As I know, it's impossible to make proxy settings in a router.
If you want to use proxy, you can install a proxy software like CCProxy, Wingate, Nginx etc on a computer. CCProxy is easy to use, Wingate can support transparent proxy, Nginx? not recommended, I have not used it.
"every time i try to use a proxy i lose internet connection"? strange...
So why you want to use a proxy, for Internet sharing or to bypass some restrictions?
And are you using a public proxy get from Internet or a local proxy server built by yourself on the LAN?