Are talking about HTTP proxy, then you have two choices:
1. As an HTTP proxy, where the proxy is a regular HTTP request with the only difference: the argument passed is not a relative path, like GET / HTTP/1.0, and the full URI including the Protocol
GET http://example.com HTTP/1.1
2. As CONNECT proxy, the request is made
CONNECT example.com:80 HTTP/1.1
then it reads the server's response, if the response is successful, further data sent over a connection will proxyreverse on the server port specified in CONNECT.
The second method is typically used for HTTPS, and some proxies do not allow CONNECT to ports other than 443.