As for a proxy server, I think squid is the most popular. However, it is command-line based: you install it, edit squid.conf, the first time initialize its cache (squid -z) and start it (squid).
There is also one true content filtering program that can be used to filter proxy traffic: Dansguardian. I think it is free for educational use (but not sure).
As for e-mail, there are several choices.
I am rather conservative, so I built a system with some good old programs: sendmail (smtp server) + qpopper (pop3 server) + neomail (pop3 webmail server) + some filtering via procmail, anomy-sanitizer, clamav.
It is modular, so any part of the system can be replaced by an other one, however, it is a rather complicated system for a newbie to setup.
Maybe someone else will post a better solution here.