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I want to set up a proxy server to run on my windows home server. Obviously I want it to be secure and only usable by me. And it needs to be reasonably easy to set up and configure.

Does something like that already exist?

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up vote 7 down vote accepted

FreeProxy. Here is an article on how to use it with WHS.

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I use ziproxy, i find it easier to configure than freeproxy, and since it can compress heavily images, it's faster on a slow vpn Here is the windows build

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