PHProxy download | SourceForge.net Has all of what you are looking for. Failing that, if you have an SSH box outside of your network, tunneling into it is incredibly easy.
If you want something that works I recommend using a free trial or pay-as-you-go option from a trusted proxy provider, those free web proxies are toast!
(Seriously – I was absolutely unaware of it until someone mentioned it to me and it has turned my development workflow on its head, haven’t tried tunnelling HTTP connections though)
EDIT: To clarify, you would probably set up a local (i.e. not open to the Internet) proxy on the remote box and then use e.g. ssh -L to map the local port of the remote box to a local port on your own machine. That way you can access the proxy as if it were running locally on your own box (yes, this sounded teribly confusing).