Select the Internet Connection Wizard from your Start Menu (Start > Programs > Accessories > Communications).

Select
"I want to set up my Internet Connection Manually, or I want to connect through a Local Area Network (LAN)". Click Next.

Now
you should have the following screen. Select "I want to connect through a phone line and a modem". Click Next.

Type in the Phone Number for Localdial.Com. Type 01534 873873 in to the Telephone Number boxes. Make sure United Kingdom (44) is selected in the next box and click next. Make sure the Use area code and Dialling rules box is checked.

Enter
your Localdial.Com username and password that you signed up with. Click Next.

Name the Connection "Localdial.Com".

Click
on Finish.

Now you have to set up the proxy server. Open up Internet Explorer. Now go to the Internet Options in your tools menu at the top of your screen.

Click the Connections Tab.

Now Click the Localdial.Com Connection you have just made and then click settings.

Check the box which says "Use a proxy Server" and then type into the address box:
proxy.localdial.com and type 3128 into the port box.
Now click OK, and OK on the other dialogue box open and now your connection is ready to use.