How to setup a proxy on a Windows 7 virtual machine?

So I am having trouble at school being kick of the network for no reason, being throttled and being blocked from school related sites. I am using Linux. The school has no problem with it but the school it person said they can only help me I use Windows 7. I came up with an idea where Windows 7 will be installed on a virtual machine which will be coected to the inteet and school domain and have a proxy server installed.

The host computer will not be coected to the school network so I will only be able to coect to the inteet by coecting to the proxy first. Also I would be the only person able to access it. The it said that using virtual machines is fine so I am not breaking any rules. My only problem with this setup is I am not really sure how to do it, I have not done any thing advanced with virtual machines and networking before and I have never set up a proxy server. Any ideas on how to make it work?