If you want a private proxy with just one or a handful of users, it's far easier just to use SSH tunnels.
Otherwise your options pretty much come down to Antinat, and Socks Server 5, both of which are right up there with Squid, in my opinion, in terms of aggravation and irritation when setting up, to say nothing of administration. There are probably others, and some for Windows servers, and they probably even have better documentation (just about everything has better documentation than Antinat), but those are the big two.
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