The OpenLayers FAQ has a section on setting up your own ProxyHost. Here's the relevant excerpt:
How do I set up a ProxyHost?
An example proxy host script is available here:
For the standard Apache configuration, you would place proxy.cgi into
your /usr/lib/cgi-bin/ directory.
Once a proxy host script has been installed, you must then edit the
OpenLayers.ProxyHost variable to match that URL.
Given the above standard Apache configuration:
OpenLayers.ProxyHost = "/cgi-bin/proxy.cgi?url=";
If you have done something like this, you should be able to visit:
The resulting content at that page should be the openlayers.org
If you get a 404 error instead, either the proxy script is not in the
right location, or your webserver is not configured correctly.