Phproxy if you want less server loads and faster proxy. Cgiproxy if you want to allow users to login into sites.
I recommend PHPproxy and plus the templates custimize more easily. Go search "Free Proxy Scripts" on Google. And you should find it. Then just follow the instructions.
PHPproxy ..Does NOT login any were! CGIproxy - Does logs in..YAAAA.. and then eats up bandwidth at a addtional cost if not carefull to you from your provider. Well... I say this so often I should make a tshirt ..make your proxy DO ONLY what your nitch is..other wise you will be the next SPAM host ..lol So again ..what are you planning on doing with the proxy makin money if ..So think a combo of both PHP/CGI and have it fined tunned by a pro her on this forum. Hope this helps ..