I am using Linux as Internet Gateway.
Using Squid I have controlled Internet access for all my users. I prefer to use Sarg for for daily bases reporting. For Realtime monitoring tail is preferable but if you want to delegate proxy monitoring to Windows Admin Sqstat is best.
SqStat is a script which allows to look through active squid users connections. It use cachemgr protocol to get information from squid proxy server.
Refer for installation & configuration details.