If you don’t have proof of address because your name is not on any bills, speak to the person you're living with and ask if it would be possible for you to take on one of the bills in your name. This could take a month for the change to come through on a paper-based bill, which you can then use as proof of address.
Alternatively, you could apply for a prepaid card. These cards are great for students and those who have little or no credit history – they can be used much like a bank account and you can even have your wages paid into them, with little paperwork required and no unexpected bank charges. Plus, once the card is sent to your home, you can use the letter that comes with it as proof of address.