I’m afraid we’ll need more information before we’re able to help you out…. What exactly didn’t work? Did the install fail? Did the OS bluescreen? Or does the software just not proxy properly?
On an unrelated note, what led you to choose Windows as a proxy server? I’m going to assume that the proxy is between a private network and the Internet. If so, then there are many, many more secure and robust firewall/proxy options available to you, such as Linux with iptables, a Cisco/Linksys/<insert your favourite vendor here> hardware device, depending on the size of the installation and expected traffic…. Not to bash Microsoft, but when it comes to securing sites, Windows should NOT be your first choice.