How to set up a proxy server for network multiuplayer with Unity?

I'm having problems to connect two machines when one of them isn't NAT punchthrough capable. So, as it's described here, I have to setup a proxy in a server and use it in those cases.

But the unity documentation says nothing about how to do that ot what kind of proxy software should I use.

So, that's the question, how do I setup a proxy in my server? What software should I use?

In the game side it's supposedly as simple as this:

 Network.proxyIP = "1.1.1.1";  
 Network.proxyPort = 1111;  
 Network.useProxy = true;