Well, you can try http://www.proxomitron.info/45/help/Installation.html . It can be used as a very basic proxy but as you gain confidence and interest you can add all sorts of stuff to it. It is not freeware, the auther calls it ShonenWare meaning that in order to own your copy you must listen to his favorite group Shonen Knife (the music is pretty good).
The nice thing about proxonitron is that it does not install, does not put files anywhere but in its directory. Does not mess with the registry; if you don't like it just delete the directory it is in and it is gone.
I used it for 5 years and the only problem I had with it was when I got ahead of my skill set.
GrimJack
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