Gateway is possible?

Just an idea in my mind!
How anonymous surfing is provided by some sites like
http://www.anonymizer.com/ right top.
Is it can be done thru php ?
How to start for this project ?
Thank You.

Yes it can, however, you will become very unpopular, very quickly with your ISP or host were you to do such a thing.

I want to learn by doing this if anything started to go wrong i will stop it.
Would you guide me where to start ?
Thank You.

You can start with the fopen() function. Open the web page you would like to proxy with fopen() and obtain a file handle. You'll then need to replace all the links on the page with the address of your proxy script.