You will now be redirected to the chosen proxy server. Your browser may display a scary warning about phishing or some other danger. The warning is shown because someone visited a phishing/malware site via the proxy, but the proxy itself is safe.
To pass the warning screen you have to click on the "ignore" link. In Firefox it is on the bottom right ("Ignore this warning") while in Chrome you first have to click on the "Details" link, then on the "visit this unsafe site" link.