BleepingComputer.com: Proxy Programs Please! What Is Good And Not So

I need to setup a Proxy so first I need to know what program to go with. I'm sure there are plenty of good willing helpful people visiting or are frequent viewers of BC that can help out.

I think I need a Proxy Server so that information or anything related would be awesomeness.

Ok I've discovered that a proxy server is not what I need but a client program that is used to find a proxy server and connect to it.

There are different kinds that do different things so I need to do a little more research to find out. I've downloaded Proxy Way but I think that only deals with browsing the net and covering email on the net or whatever which is not a bad free program but not what I need.

Could you go into a little more detail as to what you want to do?

Well basically I want to setup a proxy. Actually I want, to learn how to setup a proxy so I can show a friend how to do it. I've never done it before, I've done some research so I know very little so far. As far as I know there are some good proxy programs you can use and some not so good ones, so I was just wondering what kinds people recommend.

I've had the night to research and I have found you can have a proxy that will help with the caching. You can also have another one the same but its anonomous so it helps protect you against people attacking you, or something.

I have a linux firewall box which already has a proxy setting part in it, but I have no clue as to the details to put in there, having trouble finding on the net what I need. Apparently these details are automatically searched for by a client program, so I might have to do that. So far the 2 programs I have found are:

Proxy Way
SocksCap

OK after some more research I found in my Linux Firewall Box settings for a Web Proxy

What is this for and what is being proxyed? web browsing or that and application programs also on the net?

The settings in the window are this:
Cace size (MB):
*Remote proxy:
*Remote proxy username:
Remote proxy password:
Max object size (KB):
Min object size (KB):
Max outgoing size (KB):
Max incoming size (KB):
Transparent:

The settings with options are optional I don't need to fill that out. This is probably only have the problem here or whatever. I think if I just fill in what I need there I will have no problems.