Windows 10 offers the ability to easily setup a proxy server with the use of its Settings app and without the need to use a third-party software. I have found a best tutorial with a step by step guide: http://www.digitalcitizen.life/how-set-proxy-server-windows-10
Hope that would help you a lot.
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Is it better to set Virtual Server on Windows 10 or another server and do we set an open Proxy to MSN? Sounds a little dangerous to me.