Windows 7: Advice setting up a proxy

Afternoon everyone i was wondering if someone could help me, i am really keen to learn how to set up a proxy server and was wondering what would be the best place to start, is there a certain application i need to set this up?

You can use a premade site. There are many on the web. If you are looking to make your own then you will need a web server of some type. Most proxy scripts are for PHP, so once you complete learning web servers, then you can learn PHP.

I am curious to why you want a proxy. Generally they are used for illegal purposes. Often to circumvent web/content filters or other forms of network security. However most decent security setups can detect proxies and block them.