Download the installation file from http://www.sun.com/download/ and save it in a temporary directory in your Windows system.
A progress bar indicates the status of the download.
Change to the directory where you have downloaded the installation zip file that is in the following format:
sun-web-proxy-server-4.0-win.zip
Unzip the .zip file to extract its contents to the chosen folder.
When the extraction is complete, you will see a /ProxyServer directory and the following files:
3RD-PARTY-LICENSE.txt
LICENSE.txt
README.txt
setup
You can run the setup program in the GUI, CLI, or silent mode.