Theres many proxy server software packages available for windows such as but not limited to
A4 Proxy Reality
Free Proxy
Net Proxy
Advanced Proxy Pro
MS ISA Server
MS Proxy
Spoon Proxy
Info can be found by searching in Google or any good search engine.
Some considerations should be made like what port are incoming connections going to be on. Your bandwidth usage will possibly increase greatly depending on the volume of traffic using the proxy. If its a public proxy, your IP may be banned from some web sites if your proxy is used for non legitimate purposes.
Other considerations to include :-
What type of proxy: Socks, HTTP, SSL..??
Is it public or private
You need some knowledge of port forwarding for your router (if using one).
Generally for a home PC I would not recommend running a publicly listed proxy however, after you consider the implications and do some reading on proxies the final decision is yours.
Now to answer your question.
Choose a software package your happy with
Install the software.
Setup your software options
Setup your router/firewall
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