Squid Easy Caching Proxy Server is a full-featured web proxy cache server application which provides proxy and cache services for Hyper Text Transport Protocol (HTTP), File Transfer Protocol (FTP), and other popular network protocols.

This is a quick deployment and ready-to-run image.
Simple and rapid installation. Easy to maintain.
Connection to Squid Easy Сaching Proxy Server on Ubuntu using Windows Settings
- Launch VM through your Azure account. When starting the VM proxy server starts automatically.
- To use the proxy server through the built-in Windows tools, you must open the settings.
- In Settings select “Network & Internet”.
- Go to the “Proxy” section and set the “Use a proxy server” switch to On
- In the “Address” field, enter the address of the VM, and in the “Port” field, specify 3128. Then click the “Save” button.
- To check the connection to the proxy server, open the https://www.myip.com/ website in any browser and check if your IP address has changed.
- Check out the following links for further documentation and support for Squid Proxy
https://wiki.squid-cache.org/SquidFaq