If having to install things doesn't matter then you could install something like Hamachi, though. Hmm, does anyone know of anything else that can tunnel stuff but doesn't need anything installed for it to work?
Of course, if you can get past the learning curve for it, SSH could work well for what you want to do.
First of all, what OS is on the computer that would act as the server? If it is Windows, you could use copSSH (
http://www.itefix.no/i2/copssh ), a package containing OpenSSH and a GUI tool for configuration (you will need to use this at least to add a user that is authorized to use the SSH server). For anything else, you may already have an SSH server. If not, for GNU/Linux and possibly other systems you can get OpenSSH directly from the package manager (will either be listed as OpenSSH or sshd).
After setting up the server, you will need to pick out a client. The one I usually use is PuTTY (
http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html ), also findable from the first search result for PuTTY on Google.
When opening up the client on a computer you will be connecting from, this is the first thing you will see:
Fill in the host name or IP address to your server and set the port number if you used a custom one for the SSH server (I'd recommend doing this; in this case it can be as simple as changing the external port on the port forwarding on your router, if the server is behind a router).
If you want to enable compression, next click SSH from the left and then enable compression on the right.
Now the last step before connecting, double-click SSH from the left to expand it and then click Tunnels. This is where you will actually tell the SSH server what you want to connect to and tell the client what port to listen on for that connection. If your proxy server was on port 8001, for example, this is what you would want to fill in before clicking add:
Be sure to remember to click add after you've typed in the source and destination (I forget to do that sometimes.
) To use the proxy server, in the proxy server configuration in the browser you would enter localhost for the proxy host and whatever you put into the source port box for the port number (8001 in this example). If port 8001 was already taken on the computer, you could put in 18001 in the source port box and then use localhost and 18001 for the proxy server.
After all of this has been done, click open and after connecting type your user name and password for the SSH connection to establish the connection.
If you want to save all of these settings on a USB flash drive or other portable media, you could use PortaPuTTY instead (
http://code.google.com/p/portaputty/ ), which saves the settings to a file instead of the registry, and then save the session settings after you've typed them in.
Oh, and if you use this keep in mind that this does allow tunneling various things past your router other than what you have forwarded on the router and does give command-line access to the files of the user you log in with, so for the user you allow to connect through the SSH server be sure to give it a good password.