Steamproxy does NOT involve proxy servers. It is NOT a networking proxy. If that's what you're looking for, sorry!
Steamproxy is a simple Windows program that executes a Linux program with the Linux system() library function, then exits after that program returns. It is intended for Linux users running Steam under wine.
Why would you want such a simple program? Why would I write a Windows program for Linux users? Read on to find out!
Here's the scenario: You're running Steam in wine. Steam is great; it lets you earn achievements, see what your friends are playing, and let your friends know what you are playing. However, this only works for Steam games. What if you play a lot of StarCraft 2, and you'd like to let your friends know so they can join you?
Steam created a solution for that - you can launch non-Steam games from the Steam interface. You can't use all of the nifty Steam features, but you can at least let your friends know what you're doing.
But what if you play Steam on Linux, and you play Linux-native games like vegastrike? You can launch a Linux binary from Steam, but Steam can't track the fact that you're playing it. This is because wine doesn't know anything about Linux binaries (this isn't quite true - wine will happily execute a Linux binary, but it does a fork() and exec() and immediately forgets about it, which means the call returns immediately without blocking, so Steam would think the game had closed even though it's still running).
So, this is my hack to solve the problem: add a non-Steam game, like vegastrike, to Steam, but instead of pointing at the binary directly, launch a small 'proxy' program that Steam can recognize that, in turn, launches your Linux game.
It's easy to compile; if you have make, gcc, glibc-devel and wine installed, you should have everything you need. Just run 'make'!