IMO the average home user that runs several other networked PCs shouldn't need a proxy, in the sense of having a computer go out and download a bunch of websites, and then feeding those pages to the computers on your private LAN. Because being on broadband you have more than enough bandwidth to retrieve files off of the net.
Now what it seems that you want to do is to share your connection. Being that you are using Mandrake 8.2 if you open up the Mandrake Control Center (or by running drakconf in a terminal) select the networking icon>connection sharing... this should run you through a wizard, to share your connection.
in the kde menu look in the configuration>KDE>look n feel i believe and you'll find some stuff to configure the way your X sessions look.