Proxy not working?

I have a proxy server on my Windows 10 home laptop, when I start it press any key, when I press it the window disappears, how should the proxy server run?

Your question is inaccurate.

Do you want to use an external proxy?
Or do you have a local proxy installed?
Which program do you want to start there? Sounds like a batch file to me?
Can you post the content of the batch here?

Enter it directly in the internet settings.

Otherwise read the manual or the description of the proxy.

2 and 3 yes and there's a press any key