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http://www.sysinternals.com/ntw2k/source/regmon.shtml
that looks like a good program, and also lists other programs that monitor other things

They have a lot of good programs at...

The only way I see a proxy as a security program is when it hides your ip so that malacious hax0rs can't see it and try and hack you. Are you talking security programs like firewalls or like stuff...