I assume you are using Win95/Win98/winME or using Zone Alarm Pro? Otherwise there is no need manually set the browser.
Because the correct port is 12080 (for all browsers), the port number in the video looks truncated as it only shows the last four digits following the full input you would have seen the port number starting with 1.
What do you mean by "(PS... I also noticed that the webshield scans without using proxy)?" It uses LocalHost proxy 127.0.0.1