How can you ensure that all programs use a proxy server?

You can use the following environment variables...

to set a proxy http the syntax to be executed in a session bash is as follows:

export http_proxy=http://[[user][:pass]@]proxyname[:port]

To set a proxy ftp:

export ftp_proxy=http://[[user][:pass]@]proxyname[:port]

if you want to configure these environment variables globally just enter the command without the definition export into the file /etc/profile oppure in /etc/environment.