Yeah, go mIRC Options > then in the left tree thing go to Connect > Firewall.
(On newer versions - if it's not in that location upgrade mIRC
www.mirc.com)
Choose firewall support: Server (just to route the connection to the server thru the proxy - this means everything but DCC's), DCC (only to route DCC's - normal server stuff will be direct), or both (both are routed thru the proxy)
Then choose the protocol. The best protocol to use is Socks5 (or socks4 if socks5 isn't available) but not all proxies support it. Most proxies will support the "Proxy" protocol, which is just HTTP tunneling.
Make sure you enter the correct hostname, and userid/password if you need it.
The port will default to 1080 (which is usual for socks4/5) but sometimes an HTTP setup will use 8080.
You can enter exceptions in the list below (for hosts where you DON'T want to route thru the proxy) then just press OK.
Try to connect. If it's still not working, double check your settings. You may have to check with the ISP if you are unsure (if it's your ISP's proxy)
Another option is to search google for "public proxy servers" or "free proxy servers", "free socks5 proxies", etc and you can find a proxy to use there, provided you can connect to it without problems.