Proxy Server Software

I need to set up a proxy/firewall on my linux box to connect my home network
(Windows PCs) with my Cox cable model. Does anyone have any suggestions on
what additional software I will need to do this? I currently have RedHat 6.1
and am going to upgrade to 7.0, it if makes any difference.

Also, has anyone had any experience with RedHat 7.0?

Thanks!

Mark