What exactly do you mean by "proxy utility"?

If you are talking about a caching web proxy server, then the one most people use with Linux is probably squid.

It does seem to come with Knoppix.

I'm not sure what you are hoping to achieve with it though. Unless you are sharing one internet connection with several computers/users, I don't think you are going to get any better performance than simply having a nice big cache in your web browser.