As with JSMDirect, JSMProxy needs to be installed in a cgi-bin enabled directory under your web server. $LANSAXROOT/integrator/cgi-bin contains the jsmproxy CGI program you need to make available. It also contains JSMAdmin, which you will need in order to register functions for JSMProxy through Integrator Studio.
The recommended procedure is to direct your web server to find the programs in this location. In Apache, you can add the following lines to the httpd.conf file (where LANSAXROOT should be replaced by your install directory):
ScriptAlias /cgi-bin/jsmproxy LANSAXROOT/integrator/cgi-bin/jsmproxy
You will need to restart the web server after adding these lines (usually by running "apachect1 restart").
Another way to make the programs available is to copy them to your existing cgi-bin directory. You may want to do this if you already have other CGI programs running and want to keep them all in one location.
In either case, you may need to change the files' permissions so that they can be executed by anyone (or at least by the user associated with the HTTP server, such as apache). You will also need to make sure that the jsmproxy directory in $LANSAXROOT/integrator is accessible.