|Kind of depends on how you access the internet. If the switch/router/modem is the connection point you may be able to do a different setup or change your config to allow the point of connection to be the modem/switch/router.|
One way is to use ICS built into XP. See help and support center for how to. Also many web pages.
I prefer to use Analogx's free proxy. See the readme file in download.
"Best Practices", Event viewer, host file, perfmon, antivirus, anti-spyware, Live CD's, backups, are in my top 10