A Default Gateway is used when a system does not know what the next hop is for a particular TCP/IP packet. In other words, your computer maintains a list of routes it needs to move packets around its attached networks. If a packet is generated that needs to go to a network that your computer doesn't know about, it sends that packet to the default gateway which should know where to send it.
A Proxy Server is entirely different from a Default Gateway, though to the end user it appears as though they provide similar functionality. The proxy server accepts connections on behalf of a third party host, and forwards those connections as if it came from the proxy server itself. A proxy server is often used within a network when end user computers do not have access directly to the external Internet.
If you want to use pcB as a router for pcA, you'll need to configure some sort of routing service on pcB. In most cases this is not configured by default. However, what I think you want to do is proxy the connections from pcA through pcB to your Internet connection. Most likely, you will need to configure the proxy server within your web browser's preferences screen, or perhaps system-wide through an operating system configuration directive. Internet Explorer's configuration is particularly easy, but you must know what type of proxy server you've set up, as well as the TCP port your proxy server on pcB is listening on.
Without additional information about your particular platform, it is difficult to give any more detail.
