Using the free “Classic” version of Webwasher it is simple to create an HTTP filtering proxy for your LAN. Install the software and enable the “HTP Proxy Server” setting.
But: It can’t be run as a service out of the box. You need srvany from M$ or Firedaemon to run webwasher as a service so its always available on the network. The freeware edition of my favorite FireDaemon is not supported by the developer any more, but you can still be downloaded here and here.