How to make a home proxy server?

[rkbjb]

I posted a while ago on where to find a program to block my ip address from, email, irc and browsing, and I was told a proxy server would not block my ip but hide it.

I looked up and down www.yahoo.com, www.altravista.com and www.ask.com for a tutorial on making a proxy server for home use and I came up emty.

I was wondering if anyone could give me step by step info on setting up a proxy server on Microsoft Windows Me or windows in general, the only step by step sites I could find were for linix systems.

Thank you so much for your help and time.