Lots of people complain that web proxies are not working on their work or schools computer because they have been banned by administrators. A way around this is to setup your very own proxy server that is being hosted a) by a free web hosting service that supports either php or cgi or b) your own website that is being hosted by a web hosting company.
Both methods should work and I will walk you right through the installation process for both scripts and give you tips how to find out what is actually being blocked. Before we start you need to download a copy of phpproxy or cgiproxy depending on what you want and can use. You can also perform a search for free web hosting on Google for instance and try to find a web hoster that supports one of the two scripting languages, a good site that I found while searching for those terms is freewebspace.net
Download phpproxy and unpack it to a local directory on your hard drive. All you need to do know is to upload the script to your web space and open up the new url to check if its working alright. You may want to rename the file to something different, something that does not contain the word proxy in it to avoid filters that ban any page that has the word "proxy" in it.
You can open up the script and enter your clients IP in there to make sure that only your client will be able to connect, or you can add a .htaccess file to the directory forcing everyone who wants to start the script to enter a username and password. Again, use Google if you like to find out more information about .htaccess or use this handy password generator.
The php script has some requirements: make sure you read the readme file which is included and check to see if your hosting company meets those requirements (php version for example).
Your hoster has to have cgi enabled in order to run this script. Many free hosters do not offer cgi or only some preinstalled scripts. Make sure it is enabled before you start the installation process. First, download the source and unpack it to a local directory.
Now, open the .cgi file and take a look at the configuration. You can edit lots of settings from within, for example you can configure the script so that it only allows text to go through the proxy but no images. Everything is explained in detail and all options are explained with comments, browse through the file, edit the options to your liking and save the new file.
After that upload the script to your cgi directory if that is required by your hoster and open the url from your browser. You are now ready to browse the web anonymously, to check if that is really the case load a website like whatismyip.com as the first site and check if the IP matches with the server the script is installed and not your computers IP. If that is the case you've done everything correctly and can surf anonymously. (there are still ways to find out your IP, just in case you are wondering)
3. What is being blocked?
a) If you can access the proxy from the client they only block domains or IP addresses.
b) If you can't access the proxy they may be banning file names that contain proxy as well, try changing the file name to see if it resolves your connection issues.