You may have more luck with the ‘Automatic Proxy Configuration’ method. I found that the above method didn’t work for me, but that the following did.
In the network configuration page and under the section ‘Proxies’, enable ‘Automatic Proxy Configuration’.
Then, in the text field labeled ‘URL:’ that shows up, enter the address that is listed on your iPhone in the running iProxy app. As an example, my address was:
Once you enter the URL, hit ‘OK’, then ‘Apply’ in the Network window.
You should be able to visit websites now.