Yes, HotSpot Shield is already an application that acts as a web proxy server for your browser. In fact, after it's installed and started, the browser is used to initiate the connection to their servers. Once connected, the proxy field in the browser is automatically controlled by the application making you anonymous on the web. There is no need to configure anything since HotSpot Shield does it for you.
To find additional information, browse the following website of the developers: http://www.hotspotshield.com/