Proxy connection not working?

I've got a proxy connection via PPTP (set up in System Preferences). The IP
address showing on the PPTP pane is the proxy server address.

When this connection is enabled, an IP self-search (ie,
www.whatismyipaddress) still shows my "real" IP address.

Why is this so? Shouldn't it show the proxy's IP?

I've reloaded the web page but it still shows the local IP address.

Am I doing something wrong?

Thanks.