Althogh previous answer is correct, it is not complete, so I thought answering this question myself the way it worked for me so i may help other with the same need. (my PC is windows and my server is Linux)
download and install squid proxy for windows.
follow these steps
http://www.mrcnit.com/how-to-setup-squid-proxy-server-in-windows-7810-or-windows-server/
Use putty to SSH to your linux box
before connecting to your linux box, go to Connection->SSH->Tunnels option (if you have a session with your server information saved in putty, remember to load it first)
in the "Source port" field enter 3128
in the "Destination" field enter localhost:3128
in the options below, select "Remote"
Click "Add"
click "Open"
once connected to your remote linux box, enter the following command
export http_proxy="http://127.0.0.1:3128"
from now on, every wget or curl you execute, it will use your SSH reverse connection to go to the internet through your PC connection.
In case you are using a Linux PC and want to give internet access to your Linux Server, you won't be using putty, but your own ssh client. In this case, edit the file (or create) ~/.ssh/config and enter the following
Host *
ServerAliveInterval 30
RemoteForward 3128 127.0.0.1:3128
RemoteForward 52698 127.0.0.1:52698
This will create the reverse connection to your linux PC
I hope this lights up the way to some lost souls as I once was...