I used this program about a year ago for about 6 weeks and it was great. I was able to get it working within minutes. It was easy to install and configure. Unless it has changed, it is important to know the popular proxy port #s. i.e Http-80, ftp-21, pop-110, smtp-25. It had a little icon that it sets up by the clock- it is green when working, red when not. If it isn't workiing just turn off all of the proxies except http and start adding them back.
Here is what I found about setting up on the AnalogX site.
Simple, run Proxy on the machine with the internet connection; configure the other machines to use a proxy (it's very easy, there's a detailed description in the readme), and voila! You're surfing the web from any other machine on your network! Supports HTTP (web), HTTPS (secure web), POP3 (recieve mail), SMTP (send mail), NNTP (newsgroups), FTP (file transfer), and Socks4/4a and partial Socks5 (no UDP) protocols! It works great with Internet Explorer, Netscape, AOL, AOL Instant Messenger, Microsoft Messenger, and many more!