Yep, Analog X is the windows proxy. I could never get Windows Internet connection sharing to work, another AOer suggested it.

The only holes I've run into with it are, Window updater v6 won't work, you have to use the administration link and manually use the update site ( the manual site is v4). They have a lot of posted fixes using proxycfg but it's just easier to go in manually. Also Spybot S+D won't get the updates through a proxy. The proxy server uses port 6588 and there doesn't seem to be a way to configure Spybot to go through the proxy.