WinProxy offers support for up to 900 users and 100 groups of users, dial-up networking support, proxy cascading, URL restrictions (restrict access by specific users or groups to a list of URLs), dial-on-demand capabilities, Windows system traybar support (although it would be more useful if the icon changed colors and/or listed the number of users currently connected), and Microsoft RRAS SteelHead support.
Additional features include the ability to run as a Windows NT system service, support for mapped links, and the ability to store passing data into the shared cache. WinProxy's firewall capabilities, while not on the level of an advanced commercial package, should prove good enough to turn away most unwanted attempts to compromise the system.