Usage on the client:
setup_http_proxy("THE_ADRESS", THE_PORT_NUMBER) # address of the Proxy, port the Proxy is listening on
The code wraps sockets to perform an initial HTTP CONNECT request to the proxy setup to get an HTTP Proxy to proxy the TCP connection for you but for that you'll need a compliant proxy (most won't allow you to open TCP connections unless it's for HTTPS). HTTPConnection.set_tunnel basically does the same thing.
For your use case, a program running on free hosting, this just won't work. Your free host probably will only allow you to handle http requests, not have long running processes listen for tcp connections(which the code assumes). You should rethink your need to tunnel and organize your communication to post data (and poll for messages from the server, unless they're answers to the stuff you post). Or you can purchase a VPS hosting that will give you more control over what you can host remotely.