How do i build a proxy server?

I'm looking to build a proxy server for my team at school for TSA. the reason being the majority of sites are blocked that we used to read up tutorials on and how-tos. so I figured It would be nice to finally post here and find out how to build a local proxy. Is there a way i can host the proxy locally (from my documents)? If not, can someone tell me what i need to do to build a proxy to connect to online?

Thanks :)

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