How to setup a Firewall?

Use this resource
http://www.asptoday.com/articles/20001012.htm
http://www.asptoday.com/articles/20001016.htm

Tell me if this helps :)

another good link for information about firewalling and ports:

http://www.robertgraham.com/pubs/firewall-seen.html

I don't have instructions, just a warning. I would not consider Proxy server a firewall out of the box. Pick up a book called "Hacking Exposed" and read through it. It will explain common exploits and how to close them from an admin's perspective. Once you close the Proxy server to all of the exploits mentioned you will be in a much more secure position.

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