Installing WinProxy is a breeze. All you need is information about your system setup -- the static address reserved for the proxy server (if one is used), a DNS-server IP address, a mail-server IP address, an news-server IP address, and the RAS Phonebook entry for connecting to your ISP. This information is fed into an easy-to-follow Setup Wizard which allows you to select the protocols to manage; at a minimum, you'll want to include HTTP, FTP, mail (both IMAP4 and POP3), news, and SOCKS 4 and 5.
You'll probably also want to include support for RealAudio, given its increasing usage on the Net. Also supported are transactions using the Secure Sockets Layer (SSL), including SSL support on nonstandard ports.