From this quick post (on Jeremiah's blog) we learn how to create a simple proxy for your web surfing needs with the help of Ubuntu Linux, Apache2, and PHP4.

Using Ubuntu Linux, Apache2, & PHP4 we can set up our own PHP Proxy page to use at work or school for those web sites you probably shouldn't have access to.

The linux installation isnt covered, but the painless installs of the rest of the apps is summed up in a few simple lines. Following that, he shows you what needs to be edited in the Apache config and where to get the PHP proxy application from.