I am trying to use a service provided by a server which requires basic HTTP authentication, however the application I am using does not support authentication. What I'd like to do is create a proxy that will enable my auth-less application to connect via the proxy (which will add the authentication information) to the server requiring authentication. I'm sure this can be done, however I'm overwhelmed with the number of proxies out there and couldn't find an answer how to do this.

Basically it seems all I want to do is have a proxy serve this URL:

http://username:password@remoteserver/path

as this URL:

http://proxyserver/path

I can run it on Linux, but a plus if I can run it Windows as well. Open source or at least free is a must. A big plus is if it's fairly straightforward to setup.