How would I go about doing this in python? I need to establish a stronger connection than I may have to the server.
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Using urllib2 (which is the easiest way to fetch resources from a http server), you need to set the http_proxy
environment variable.
If your proxy is unauthenticated it will be something like:
export http_proxy=http://proxy:port/
If your proxy is authenicating, it will be:
export http_proxy=http://username:password@proxy:port/
If you want to do this programattically, you can manually do this using a proxy handler.

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Andrew Walker
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And how would you link multiple proxies? – Michael Oct 17 '11 at 03:35
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In what way are you trying to "link" proxies? Do you need to do some kind of forwarding (ala squid? http://en.wikipedia.org/wiki/Squid_%28software%29) – Andrew Walker Oct 17 '11 at 03:40