I don't want to discourage you from trying, but I hope you weren't expecting a quick solution. If you don't even know where to start then I feel safe in assuming you've never worked with Squid or any of the other proxy tools. Assuming you've got Linux experience you would want to start there. Make sure you set aside some time and have a little patience because it's probably going to take a little while to really get the hang of it, but from the people I know that have learned, once you do you'll be able to set them up in the future very quickly. Good luck with it, and look through here because there's a handful of tutorials that have been posted here in this section.