Setting up a proxy

I was recently trying to set up a proxy for my PSP. Basically my end aim is to redirect download calls to a location on my PC. e.g. if my PSP tried to download the file "http://dl.playstation.net/example/test.txt", it would really receive a file on my computer stored at e.g. "C:\example\test.txt" instead. I have successfully set up a proxy using Proximodo, and identified the address from which the file is downloaded, but Proximodo won't let me replace the file. Any other tool I have found only appears to work locally (needs to edit host file). Is there some other way to do this? Or even a way to use Proximodo to do it that I have missed?