Proxy in my browser has no effect and always keeps my correct IP when reporting to websites?!

Hello. I have been trying to set up my browser to use a proxy for
browsing. Simple enough I'm sure you'll agree right?
Well, although I used to use them a lot in the past I haven't done it
for a while so I just got an add on for firefox and that gave me a
button on the toolbar with which to change to any of the proxies that
I put into its config file. I found a load at proxy4free and other
sites, loaded them in..bla bla bla, did it all CORRECTLY (I am sure of
this!) and then tried it out. Sure enough it was soon telling me I
was using a proxy and the webpages I tried would even take the usual
delayed response time depending on say if they were close to me or far
away or as usual some did work and some didn't. the problem I have is
that any website I visit that tells me my IP number keeps telling me
the correct IP that I am connected to my ISP with?
Although it appears that the browser is going through a proxy I am
just not managing to hide my IP number from sites like whatismyip.com
and others.
I ditched firefox as I am only a few months new to it(!) and tried it
in internet explorer...I am very adept at using IE and went right in
and manually added the fastest proxy server and ticked in the settings
for it to be used for all protocols. Then tried some surfing. It
definitely seemed to be going through the proxy as before. Went to
whatismyip.com and...
My IP was still the IP I am given by my ISP.
What is going on here??!
My IP is always 88.14x.xx.xx
The proxy IP was in the region of 212.xx.xx.x
No matter how I messed with the manual settings in IE or firefox, and,
even when browsing with -apparently- the proxy working(to the point of
some proxy server giving me an error message that 'this proxy is
overloaded at the moment') I was still always getting my own IP
reported back to me!
Please can anyone shed some light on this??

Just to note - I use XP Pro, it has SP2 and also I do noit have all
those default services running and have reduced them over the years to
the few I seem to need so I do wonder if I need to start there.
Thanks.
H.