Do you have any documentation on this? It's something I've been interested in setting up.
You'll need to set up Privoxy on a machine on your network (unfortunately the config is not the easiest to get to grips with) and then set up your devices to use it as a HTTP/HTTPS proxy.
If you have a VPN, you can configure clients to automatically use your proxy. For instance, on OpenVPN, add a couple of lines to the server.conf, using your own ip + ports:
push "dhcp-option PROXY_HTTP 10.8.0.1 4862"
push "dhcp-option PROXY_HTTPS 10.8.0.1 4862"I run it here on tomato and use something similar to: http://www.linksysinfo.org/index.php?threads/auto-dl-hosts-f...