This should help a bit. Worked for me when I did it a while ago...
1) Install
Privoxy
2) Open it and goto, "Options" -> "Edit Main Configuration" which opens a Notepad page with all the settings... and scroll down to the bit that says;
"listen-address 127.0.0.1:8118"
Now, you wanna change "127.0.0.1" to your computer IP address. To find it, go to Start -> Run -> "CMD", and hit enter.
In the CMD console, type, "ipconfig /all" and hit enter, a bunch of stuff comes up, look for the bit that says,
"IPv4 Address" - Next to this over on the right will be your IP address. Put that IP in the bit that I said above. Save that Notepad and close it.
Go to your PS3 network settings, do all your usual settings, and in the proxy part use the settings you just found. So, the IP address is the one you got from CMD and entered into Privoxy, and the port is, "8118".