Correct me if I'm wrong, but it looks like you're asking for a Windows proxy server, rather than having the internet hooked up to your linux box.
If that is the case all versions of Windows come with "Internet Connection Sharing" built in. You can find it in add/remove programs under windows components
If I have mis-read and your internet is indeed hooked up to your mandrake box then just using IP tables will allow you to share your internet with your windows machine.
Assumeing your internet is attached to eth0 enter the following as root
iptables --table nat --append POSTROUTING --out-interface eth0 -j MASQUERADE
iptables --append FORWARD --in-interface eth1 -j ACCEPT
echo 1 > /proc/sys/net/ipv4/ip_forward
That should give you a fully functional internet on both boxes.