Or just install Cygwin or Copssh and do `ssh -D 8080 user@remote`. Better yet, ditch Windows
That's what they did, but with PuTTY. Open PuTTY, type in the remotehost, click the tunneling option, hit D, type port 8080. (then be prompted for username/password).
The rest of the article is explaining why it works, and setting up SSHD on the remote host, (or, acquiring a remote host) which you assume has already been done.