I\'ve this configuration in the hibernate.cfg.xml:
If you're using the latest of NHibernate(2.1), you'll notice that mainline for NH doesn't have a dependency on castle for proxy generation anymore, so all those tutorials you've been looking at are probably out of date.
Basically, you now have a few choices of how you want your dynamic proxies created, so you'll need to explicitly configure which proxy generator you want to use. Examples can be found in this how-to post on forge. A full list of the options is referenced here.
P.S. if you want to keep things simple, just use Castle as the older versions of NHibernate all used it by default.