Step 1: Setting up a proxy
To filter the internet we need a tool to allow us to do that. Tinyproxy allows us to do that.
Launch the Synaptic Package Manager from the "System" -> "Administration" menu.
We need to make sure that community open source packages are available. To do that under the menu "Settings" select "Repositories". Make sure "Community maintained Open Source software (universe)" is selected.
Now on the tool menu click Search and type "tinyproxy". Right-click on "tinyproxy" and select "Mark for Installation". Now click Apply on the tool menu.
sudo apt-get install tinyproxy
Tinyproxy should now be installed.