with the new bfgminer, mcproxy functionalities are integrated all in one software, you do not need mcproxy anymore.
OR
if you want to continue us cgminer/bfgminer (first version) + mcproxy, you can!. You will need to setup your own instance of stratum-mining-proxy (https://github.com/mrtexaznl/stratum-mining-proxy).
We are here to support miners! Post in the forum to get help.