simple web proxy server for windows

You use FreeProxy. It is free of charge, a windows executable, with a easy-to-user GUI interface. Also it has features like authentication, caching and url-filtering.

You can download FreeProxy from here.

Another alternate is CCProxy. Still I would prefer FreeProxy over this. You can download CCProxy from here.

I would like to suggest AnalogX proxy. It is really simple, and I have used it numerous times to solve my proxying problem.

Get it at http://www.analogx.com/contents/download/Network/proxy/Freeware.htm

See my blog on how to configure the proxy at: http://sharuzzaman.blogspot.com/2011/08/ssh-reverse-tunnel-one-way-connection.html

It is more complex than what you need, but AdvOR would do it.

Advanced Onion Router is a client for OR network and is intended to be an improved alternative for Tor+Vidalia+Privoxy bundle for Windows users. It is able to "force" a program and its plugins to use the Tor proxy regardless of its configured proxy