Its a free to use web-based proxy script written in PHP http://www.glype.com/downloads I hope it will help u if u need further assistance let me know via pm
1. Get a domain 2. Get a good Proxy webhosting 3. Publish your website. Your website ready. But it take time to promote proxy around 3 months
For the basic, you need to find a domain, a host (which is better if you use VPS or dedicated as proxy requires a lot of resource to run). Download a proxy script that available free and get some nice template. Configure them and upload them to your hosting account. Promote and enjoy. Try www.kickstartyourproxies.com.
Another script you could use is Zelune. This proxy script works well with any kind of websites, including ones that require log ins. www.zelune.net if you want to use it, basically download the script, upload it to your website, and you've got yourself a proxy!