How can I use a computer as a router and send all client traffic through anonymous proxies?

Is there a way that I can setup a spare box as a router on my network, and route client traffic through a proxy in order to hide my location?

Specifically, I would like internet traffic to/from my Roku Box to be routed via proxy, but there is no proxy support built in to the Roku. So I would like wire my Roku directly my computer's second NIC, and force all traffic through a proxy.

What kind of software and hardware setup will I need? I currently have a spare machine with two NICs and Windows XP. I have tried using the TOR network, and was able to successfully setup internet connection sharing, but was unable to figure out how to force client HTTP traffic to use the proxy.

What type of software setup do I need?

You can do this with a transparent proxy. This is easy to do on Linux, if you start with a guide like This one

Then you just have to configure squid on the Linux box to send outgoing connections to your favorite anonymous proxy.