Q:

How to configure Windows Server as a Web Proxy?

I'd like to set up a transparent web proxy on my home network. I know you can do this with Squid on Linux. I was wondering if Windows Server includes a web proxy?

A:

So if somebody would like to answer "No, use Linux. Here's how: [...]"
  , we can get an accepted answer.

Ok so i would say : Microsoft has its own Firewall/Proxy product called Forefront TMG. So they won't kill themselves by providing such a role or feature on Windows 2008 Server.
However, it seems that they have announced the end of Forefront TMG (support still alive until april 2015 and april 2020 depending on contract subscribed). By now i don't know if it will be replaced by another product or added as a role/feature in future Windows OS version.
The fact is that the best and low-cost solution would be using Linux with the most popular proxy Squid.
Here is a link about how to configure it as a transparent Proxy :
http://www.tldp.org/HOWTO/TransparentProxy.html
Here an interesting resource also :
http://www.shorewall.net/Shorewall_Squid_Usage.html
Note that you will need to deal with iptables (most popular Linux firewall) to redirect traffic to the Proxy.
If you are not familiar with Linux i would suggest latest Ubuntu release (but not 13.10 because it has a limited time support). Ubuntu 12.04 LTS would be a much better choice (in my opinion). Debian 6/7 could be an alternative also.
ps : No, use Linux ! :)

