Oh yeah definitely it should work with your proxy server- I mean just setup Netscape to your proxy server settings and you should be fine. BTW it might be a good idea to get a router (~$100) instead so you don't have to leave your proxy machine on all the time.
The difficult part is getting a nic to work. 3Com and Intel cards are usually good bets, but there's a compatibility list over at Sun that tells you what exact cards are supported.
David