Does anyone know of any proxy server software or proxy server simulation type software that you can run on a Windows XP box?

Basically what I am looking to do is simulate a proxy server so I can test code I write for situations when my customer is behind a proxy server. We don't have one here, and other than knowing what their purpose is, I don't know a ton about proxy server administration. So while I guess I could just download ISA server from Microsoft and install on a 2k3 server box, I was wondering if there is anything out there I could run locally on my XP machine to mimic this behavior.

Sorry for mucking up your chit-chat with a serious question, but I figured you guys might know.