Why don't you use a dedicated distribution on a dedicated old computer?
It will run faster, includes a firewall, and will release your main machine for learning, doing great stuff!

I refer to IPCOP 1.2.0, you can download the 24MB distribution (ISO) from http://distrowatch.com

CAUTION! This is a firewall/proxy server that will install itself on a dedicated computer, erasing everything on the hard drive(s). It WILL totally erase an entire hard drive and install itself from the CD, then, can be administered remotely from any computer in the network! You won't need to leave the monitor, keyboard, mouse, CDROM on that 486 with 16 MB ram, and a 130 or larger hard drive with 2 NICs (3, if you want to add a web server). If on dial-up, it will use the modem, in place of the 'RED ZONE' NIC.

But, you cannot ask for a better proxy server, with firewall, with spare hard drive space storing
web pages in it's cache server. Build one in a Pizza BOX, with a 486-33 (using a heatsink instead of a fan) to hook 12 user systems to the Web!