Run Your Own Proxy

Hi,

Where I am atm, I have to connect using authentication over a proxy.
This isn't a major problem, but it's tedious at times, and there's programs which I use which dont have the option to use an authenticated proxy, but do normal ones.

Is there any way I can set up a proxy on my PC and access that? I have tried ProxyCap and another program, but they didn't seem to do anything, unless I was doing something wrong.

A step by step would be good.


Thanks

um, why do you need an authenticated proxy, this might shed some more light on what you need to do