You can make use of a Squid Proxy Server This needs to run on a Linux machine. Setting up Squid takes some time, but there are very good tutorials that can give you step by step instructions on how to achieve this. Like this how-to Installing Squid
If you want a Windows solution for a proxy server you can try FreeProxy Both of these programs are OpenSource and requires no licensing.
I have been using Squid for the past 7 years with Dansguardian for the webfiltering. Can't find anything that can come close to beating it.