That part is explained in the HOWTO :

"The default configuration files are under /etc/privoxy. You need to read and edit at least /etc/privoxy/config.
The config file is where you can specify the next proxy in the chain by changing the 'forward' command(s). But the real fun happens in the 'default.action' file. If you want to change your user-agent header, that is where you need to add a line like :

+hide-user-agent{the_useragent_string_you_want} \

... in the "Defaults" section. Note the trailing antislash."

So you need to check :

- if you're editing the right file (default.action)
- if you're in the right Section (Defaults)
- if you have the right syntax AND the trailing antislash...