How to get server out through work proxy

Hi,

I want to be able to get my server to update via yum through our work proxy.

I have tried the usual method of exporting the http_proxy=http://username:password@domain.com but this does not work for me.

I opce heard about a guy who set up a proxy on his XP laptop (Don't flame me I have no choice) and had the linux server use his machine as a proxy which in turn resolved all requests against the company proxy under his XP logon.

Do any of you know any software that is simple which would do this?

Thanks