proxy creation help

I've been searching for about a month to create a simple proxy server, I'd
like:
1.) to run locally
2.) can set port (hard code or XML)
3.) I'm looking for response and request traffic. I want to be able to
display headers.
4.) Of course, set in IE the port and proxy name (localhost?)
5.) I'm not interested in screen scraping or even using the HTML content. I
just want to display or log the header information.

I've started projects as Windows App's and Console Applications. Either is
fine. I'm using Framework 2.0, and I write in VB.NET but can convert code if
needed.

I using this project to aid in my development of single sign on application.

Any thing that you can provide is much appreciated.