You could search just about any webmaster forum or Google and find the answer. If you'd done your research, you would have seen that there two popular free proxy scripts, CGIProxy and PHProxy. Most people use and recommend PHProxy. There is a newer, less known script that you may want to look at, you can find it free some places, and that is Zelune.
I recommend some articles for you: http://moneyearningclub.com/webmaster/proxy-introduction-and-installation.html http://moneyearningclub.com/webmaster/proxy-earning-and-maximising-profits.html