Networking – What do I need to create a desktop application for parental control and web filtering?

I need resources or tips to filter my get requests for LAN clients over the web. For example, if you have the following request: http://www.pornhub.com/, my application redirects the client to http://127.0.0.1: 4587 /, I searched online and found I was creating a proxy server must (which I did), unfortunately it is not a complete and detailed information.

I also do this application with additional features C ++ language in the C ++ Builder IDE,

In addition, I know that many of you will say, "Why not use some of the online products that are already available?"

1- Education for me to learn how to do it.

2- Add additional features to the original idea.

3- To help me build similar projects in the future.

I know that this is not the place to ask (or maybe do) these kinds of questions, but I'm just wondering as a software developer.

Every place you can start or small tips will help.