you can find instructions how to setup Helix Proxy on MWG in MWG Product Guide, Section 6, "Using the Helix proxy".
Basically, you have to activate it first: service helix-proxy activate. You will have to provide an username and password for the administator account. Now you can login to the helix proxy UI via http://<MWGIP>:21774/admin/index.html, using the credentials you entered during activation. Helix proxy comes with an online help that is accessible from the helix proxy UI ("Help" in the upper right corner).