When I read the first part of your post, I figured you were going to ask how to tell your applications where to look for your proxy server. But then you went off on some other course that I couldn't make sense of. (Localhost? Download from a link?)
So, I'm going to ignore that and assume you wanted to know how to get your applications to use your proxy server to access Internet addresses.
Here is a page of
Java system properties you can set for networking, scan it for the
word "proxy" and you will see what variables you have to set. You would have to set those properties for the JVM that is running your applications. That could be Eclipse or it could be something else, your post doesn't give enough details for me to know that.