Traditional way to distribute proxy/filter software is as an executable file. The security prompt by windows might scare some users and rightly so. Alternatively the same software could be distributed as a virtual appliance. And ported to linux so there are is no need for a windows license. Then its ability to harm the host system or get nosy with private data is greatly reduced so people should feel a little safer with it.
Next issue is how to prevent others from stealing the software or developing software that does the same thing. As the software is a proxy, its VM display can just be blank. How can it be made harder to see what the VM is doing and what its disk contains? Can the ram be encrypted or something? Can the VM be locked to host hardware much like windows activation works?