I am working in my company, and the company has a gateway proxy. We must pass through this gateway in order to connect to Internet.
In such case, how can I use a proxy server to connect to Internet?
NO. It's not possible to connect using any other proxy, assuming that other than the proxy server gateway none of the other servers in your network has Internet access (This is usually the case in offices and schools)
If you are interested in web-proxies, of course there are several options as listed below(You can google to find out others). Even when you are using a web-proxy all the data is still coming through the proxy server of your network. So privacy should still be a concern.