First of all you cant send everything through a proxy server. Depending on the type of proxy, you can only send certain types of traffic - http traffic (and sometimes traffic supporting the connect method) for a http proxy, socksified traffic for a socks proxy.
Two common methods used to force supported traffic through a proxy are transparent proxying and configuration of firewall rules to deny all outgoing traffic not travelling through the proxy.
Id go with the firewall rule method personally, as you have more control. Just setup rules on your router (assuming its the only path to/from the Internet) to allow traffic to the proxy, and to allow DNS, but to deny all other traffic. Then configure your browser to use the proxy.
Your router needs to support setting of rules to control outgoing traffic. It will require some tuning to get working, and you should know something about how to run a firewall.