The following steps are about installing and setup Linux proxy server (Squid)
#install squid proxy
$ sudo apt-get install squid
#modify squid.conf
$ sudo vi /etc/squid/squid.conf
==> #add your local network segment
acl mynetwork src 192.168.0.0/24
==> #allow "mynetwork" be accessing via http
http_access allow mynetwork
#restart squid...OK
$ sudo service squid restart