Creating Proxy Server (Internet Content Filter)

Hello, I was wondering if anyone has any experience with making a proxy server in Visual Basic? I'm wanting to make an internet content filter, and I'm pretty much looking for any coding examples or tutorials that would help show me how the server can look at the:

Address of the site a users going to
The user themselves hostname
Header Information
Body of the page
and lastly how to send different data back to the user if something 'bad' is in the body of the text (ie send them to a warning page).

As I said, I am just looking for examples or tutorials if anyone knows about this.

Anyone have any ideas?

If you want to do this as an intellectual exercise, no. If you need a good content filter use Proxomitron.

Thanks for your reply, i'm mostly looking for it for learning.