Some kind of proxy under Ubuntu

Hi,

I have a kimsufi dedicated and want the following thing to be set up... I would like to have a port redirecting to another server/port, for example if I connect to my server:port, the connection is actually made to anotherserver:anotherport and proxied on my dedicated, so I get connected to my server and the server is connected to anotherserver, but the data is just send between me and anotherserver. How to make it working under Ubuntu?

UPDATE:
If you need the same, follow this guide...
http://www.ubuntugeek.com/rinetd-red...o-another.html

By the way, rinetd also works with domain names, not only with IP addresses, which is exactly what I needed.