Turn Windows 7 machine into a proxy server?

Here you go I hope this will help you if I am understanding you correctly. part of this has to be done with the command prompt but is fully explained:

Installing Squid Web Proxy Server on Windows 7 | Talk Web ID

if you find a solution plz share

Running a web server using a home or business PC is pretty well documented across the web and 99% of the software needed is even free like 'Apache'. BTW don't confuse free with cr#p, apache is used by professional hosting providers and has been powering most of the web for some time.

The linux O/S known as Ubuntu even has a human friendly installation & setup for apache, of course not everybody wants to change over to linux so a Window$ friendly 'home' server package worth googling for is 'Abyss'. Again it features a human friendly setup & control interface with good documentation and an active help forum.

Downsides of running a home server:
All the traffic is naturally deducted from your monthly bandwidth allowence, please no bleating "I've got unlimited.." all ISPs have limits of satisfaction with customers and most actually have a clause stating "Thou shall not run a server" in the small print.
BUT:
Provided one is not shifting massive amounts of data you can stay under the radar and many amateurs & professional webmasters run sites this way because of content or feature restrictions imposed by mainstream web hosts.

Home Proxy Server... personally I would advise against it. Data has to be moved into and then out of the server over your connection so a 700mb video file becomes 1.4gigabytes of actual traffic. Domestic broadband speeds are also very often asymetric.. downloads are faster than uploads. As everthing you send back to a visitor is an upload to the web from your server then your service is unlikely to be as fast as you hoped.

The other problem that tends to deter folk providing a proxy service is the legal aspects eg.. facilitating copyright infringement. Plus lets not forget the very real fear of local law enforcement blowing the hinges off the front door as part of an anti terror or Kiddie Pr0n investigation.