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