The PHProxy web proxy works with Dreamhost :-) . Get it here. The author isn’t supporting it any more so here’s a copy of the latest version of PHProxy AKA Poxy taken from Sourceforge on 9-9-07. You’ll want to put it behind a password because Dreamhost doesn’t technically allow open proxy servers (just imagine the huge server and bandwidth load on your $7/month account).
Here’s a good guide to anonymous proxy servers. I found it here.

September 21st, 2007 at 5:53 am
Holy cow!! Every anon proxy script out there is blocked by my company. But.. I uploaded this script to my server (which already had PHP scripting enabled) and voila! Right out of the box! Works perfect! I was on myspace in about 3 minutes after downloading!
Thank you so much! This script is the best!
April 21st, 2008 at 12:25 pm
I prefer CGI Proxy