AnalogX Proxy is very compact and easy to setup proxy server. Unlike other similar solutions out there, Proxy is as zero-configuration as an application can ever be. You simply go over the installation process and when it is finished, the proxy will be already configured and ready.
Proxy will place an activity icon on the system tray. When it is green, it means that the proxy server is running and no errors have occurred. A red tray icon means trouble. Thankfully, I have not experienced any errors while test-driving this app. You can access a few configuration settings and network information from the icon as well. When you open the configuration window, the server will stop and it will resume after you close it. This means that all connections get interrupted. But it also means that you don't have to manually restart the server.
As far as performance goes, I tried it with another computer on my network and it didn't seem slow at all. The HTTP proxy connects on port 6588 and I don't see anyway to change that from the user interface. Perhaps, you can change it in a configuration file somewhere.
If you want to use the proxy from a computer outside your network, you will have to forward the port 6588 to the computer that runs the server in your network.
A program that lets you easily manage your laptop connections to WiMAX networks
