To set up a proxy on your Mi Router 4C, follow these steps:

1. Log in to your router’s web interface by entering its IP address in your web browser.
2. Click on “Advanced Settings” and then “Network”.
3. Click on “DHCP Server” and scroll down to the “Custom DNS Server” section.
4. Enter the IP address and port of your proxy server in the “DNS Server 1” and “DNS Server 2” fields.
5. Click “Save” to apply the changes.

Note that the exact steps may vary slightly depending on the firmware version of your router.