Conclusions
This tutorial showed us a quick way to easily deploy fully configured web filtering proxy in Microsoft Azure.
The following notes are worth mentioning.
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It is possible to also setup HTTPS decryption and filtering on the proxy with just several mouse clicks.
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It is also possible to configure proxy to authenticate connecting clients easily.
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The same pre-configured web filtering proxy appliance can be deployed on-premises using VMware ESXi/vSphere or Microsoft Hyper-V.