Have you a box/vm up and running sme server?
If yes what mode?
A description of your network setup would be a help.
HTTP proxy is on by default.
Server Only mode does not enforce the setting
Not a lot of "setting up" to do, although you might want to look at some of the contribs, the SharedFolder contrib being a particularly useful one.
and yes the wiki has a wealth of information.
If all you want is to just run a file server I think there are probably better solutions out there