There's no proxy setting in VirtualBox because proxy settings apply to specific application protocols (e.g., an http proxy), and VirtualBox provides generic internet connectivity.
First, make sure your virtual machine has a virtual network card that is connected to the internet. This is VirtualBox's job. Make sure your vm config includes a network adapter configured as NAT (this is the simplest choice if you just want programs running in the vm to connect to servers running outside the host machine). The OS inside the vm must use this adapter as the default route to the internet (with most OSes this will happen automatically; you may need to install a driver if you added the virtual network adapter after you installed the vm OS).
Then configure proxies in the software running inside the vm as you would if they were running directly on the host.