You should be able to do this using windows ICS (internet connection service). Make sure the Windows Firewall and ICS service isn't disabled, then just go through the connection wizard on each system.
On the PC, tell it that other PCs will connect through this system, which should enable ICS. On the laptop, tell it that it will connect through another PC. Then connect the two together and you should be up and running.
If you really want to use a proxy, I'd suggest
Proxy+, I find it has the best features and is easiest to configure, and most importantly it is free (up to 2 users). It has been a good program for some time, but lacked any real development for about 5 years. However, development has started again and there are some really good features in there.
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