How to get my computer use a proxy ON my computer, which connects to the school proxy ?

The reason I ask this, is because I need all programs on my computer, absolutely the whole system to go through the network, without having to use proxy authentication?

Then I was thinking of a possibility to use a local proxy without authentication, to connect to the school proxy (with all authentication details), and then be able to make the system go through it? Is that possible?

I've heard some stories about using IP-tables to make a transparent proxy, but I have no idea how to do that, as i am pretty new at all this.

So, details, explanations and suggestions about this are very welcome!

If you need more details, I'll provide them!