FreeProxy is a proxy server with support for HTTP, SMTP, POP, FTP over HTTP, TCP Tunneling, NNTP and SOCKS5. It works with a wide range of clients including web browsers, ICQ, MSN Messenger and many others. Features include user authentication to both an internal user database or to a windows domain, extensive reporting, resource permissions, URL filtering, IP address filtering, local port binding, on-demand dialing, calendar control, proxy chaining, HTTP Cache, Ban Lists, ISAPI extensions and numerous other features. FreeProxy also includes a small web server and can run as a service on all current platforms.

Very detailed help is included that documents all aspects of the setup and client configuration.

You can download it for free from here.