Just to clarify and summarize:
- To run privoxy, just install it. You don't have to do anything extra to start it, and it will be started automatically if you reboot.
- To _use_ privoxy you will have to select a connection which you actually have configured. Disconnect if active, then go into control panel, connections, connections, select account, edit, next, next, next, advanced, tick 'use proxy', in HTTP-proxy set 127.0.0.1, in Port number set 8118. Optionally do the same for HTTPS. Scroll down and optionally enter some hostnames for which you want to bypass the proxy, e.g. my.own.domain.com,my.company.domain.com, enter OK

(the above is for wi-fi, the sequence of 'next, next' etc. looks a bit different for BT DUN accounts. I have privoxy set permanently for my phone, and two similar, but separate accounts for my own network where one is with privoxy and the other withouth (same ESSID but given different account names)).

If you want to use privoxy with some random hotspot you will have to add it to the configured connections and go through the above.

Finally, I use privoxy with the default setup, I haven't found a need to edit the config files. But you may at some stage want to add some extra site to block, or allow some blocked site, if so you will have to edit the config files. Better look up privoxy.org and read the online documentation at that stage.