Add jar dependencies for ProxyServer

The last commit is incomplete.
Running `javac ProxyServer.java` and java ProxyServer` generates errors due to lack of jar dependencies.
Add makefile to compile and run the ProxyServer.

Compilation on Linux  : `make compile-linux`
Compilation on Windows: `make compile-windows`

Running the Proxy:
On Linux  : `make run-linux`
On Windows: `make run-windows`