How to setup a proxy server?

So I have an idea... I'd like to setup a proxy server on a friend's computer to route my own web browsing through-- I simply want it to look like I'm using their computer.

What should I do? Would something like WinProxy work for this? I've also seen Squid and Privoxy mentioned.

WinProxy and Squid would work. Squid is only for HTTP though. It is very solid software on Linux/Unix, but I don't know how stable it is on Windows. Nonetheless, it will work.

I don't know enough about Privoxy to give advice on it.

I suggest to use 3proxy (3proxy.ru)
it is opensource, free, and very very simple to install.
runs on win and linux, socks, http most protocols you might want
can chain proxies and do a huge load of crap you'll rarely ever need

I can recommend it