Here is the need I have. Some software within our secure zone connects to our external clients through the web and pushes them files. The clients never establishes the connections and pulls files, we always send to them. It uses mainly http(s) and ftp protocol, on any port.
ex:
client 1: 1.2.3.4 port 554 protocol HTTP
client 2: 3.4.5.4 port 783 protocol HTTPS
client 3: 3.4.5.6 port 21 (22) protocol FTP

and so on... My security guy want's me to setup a proxy on these connections. I looked at a couple of proxy software but they are mostly built to provide web server proxy. I am looking at something that is configurable for my need.

Any ideas?

do you really want a proxy, or just an ip forwarding gateway? using a prebuilt setup like smoothwall or ipcop, it's a doddle to map internal and external ip's and port numbers.

In response to your post, yes it has to be a proxy. simple port forwarding will not do for our security guy.