Thanks for that, Polipo worked immediately.
All i want is a lightweight personal proxy, I hope that Polipo will fit that bill.
Maybe I will install Debian as well as Ubuntu can not be upgraded to 9.10 apparently.

Well, as expected, compiling from source didn't work.

Could anyone out there try to install tinyproxy by issuing these commands?

apt-get install tinyproxy
service tinyprox start
ps -ef | grep tiny                    -> should display some tinyproxy processes

You can remove tinyproxy using apt-get remove tinyproxy

Thanks a lot in advance.
Jeroen

Hi Cliff, did you ever find a solution to this?

I have exactly the same error. Priviliges and space seems to be sufficient.

I hope compiling the source itself will solve it and will try that now.