How to set up my own computer as a proxy?

hey guys,
I've a question -> is there a possibility on setting up my own computer/laptop as a proxy?

if yes, my connection speed is 5.944 kbit/s (download) and 558 kbit/s (upload)!

so how fast would be normal surfing, downloading, chatting through "my" proxy?

Yes, you can set up open source proxy software... Squid would probably be the most common and most robust proxy software.

If you're connecting locally to your own proxy then there would be no noticeable downgrade in speed, it would only be a few milliseconds difference in latency. I assume you mean megabits not kilobits / sec for the download speed.

Why you would want to, I don't know...