Do you mean an application proxy like squid or apache? Or do you mean an httpd proxy like cgiproxy or zelune etc? Tell us a bit more about what you are hoping to achieve and you may get a better answer
What I am trying to do is actually a Anonymous proxy server you know those sort you can find at those Anon proxy sites - the whole list of IPsorts that spammers use to run through to send out their spam ... Is it possible to set it up ? what do I need ... I am an idoit at this
You may setup some squid server for achieving this hopefully. google how to setup squid+linux server in case you have a linux server