You can stop the Proxy Server on Windows in any of the following ways:
Use Start > Programs > Sun Microsystems > Sun Java System Web Proxy Server version > Stop Proxy Server
From a command prompt, go to server-root\proxy-serverid and type stopsvr.bat to stop the Proxy Server.
Use the Sun Java System Proxy Server 4.0 (proxy-serverid) service in the Services window: Control Panel > Administrative Tools > Services