Windows Server 2003 and Proxy

I am a new hire. And since I am the only true IT guy (there are a few tech savvy people) I am getting buried with all the requests.

My highest priority request (from V.P.) is the implementation of a Proxy Server. The network here consists of 4 Windows 2003 R2 Servers (2 Domain Controllers, Terminal Server and Accounting DB Server)

I have been looking around trying to decide the best way to proceed.

Any Suggestions would be greatly appreciated.