Monitoring External Websites

Hello. I was wondering if anybody knew how I might track Websites that were viewed from XP Professional machines, by using either XP Professional (clients) or Server 2003. I have had one person tell me that I needed to "run" the Internet connection through a proxy server. The only thing is, I need to do (if at all possible) with what we currently have. And I do not think Server 2003 has the proxy server on it. Can anybody help me? Thanks in advance!