SafeSquid released a Windows Version, called SafeSquid Personal (free, but limited to 3 users), and SafeSquid Business Editions (commercial, available from 5 to 800 users). These editions support Windows 2000, 2003 & XP. The free edition is available for download here.
To install SafeSquid for Windows, download and run the setup file. Installation is straight forward, and should run without changing the default parameters, except the path to the log files, and the LISTEN parameter. By default, the LISTEN parameter is set to 127.0.0.1:8080. This will make it available only from the system on which it is installed. Change this to your <SYSTEM_LAN_IP>:8080, to make it available to other systems in the network.
Everything else, including the Web GUI, and other functionality, remains the same. So you can refer to my other tutorials on SafeSquid, for configuring it.