You can also get MUCH cheaper (or free if you know where to look

) software such as Winroute, Sygate, and WinProxy. Proxy servers are pretty much a dying breed due to the dedicated high speed connections available today. they're problematic and really limit what you can do on the Internet. Routers are so cheap now that everyone choses the flexibility of routers over that caching ability of proxy servers.
Anyway, I have a lot of experience with WInroute and it's a competent product. It's pretty easy to install and set up, give it a try.