www.privoxy.org - slightly more trouble to set up, but it rules on Windows and Linux. I usually set it up on a shared linux box and make it the proxy for my whole subnet.
After you have it running and tell your browser to use it (via network settings / proxies) you can configure it from the browser by hitting config.privoxy.org.
You will need to whitelist some sites (and specifically some edge caches for things like BBC streaming video to work), but it's usually not too hard. You can always bypass privoxy completely from the browser proxy settings, and it works for ANY browser (and things that aren't browsers but use IE for web access, like advert-loaded download "accelerators" should you be unfortunate enough to need to use one.
Jon
HOST SYSTEM RESPONDING, PROBABLY UP...