This tutorial showed us a quick way to easily deploy preconfigured web filtering proxy from Microsoft Azure market place.
The following notes are worth mentioning.
The proxy is deployed in the cloud, but connections from a browser to cloud proxy is done in clear text. To better protect confidentiality of the connections it is advisable to use VPN connection to the proxy. Search for Site-to-Site VPN or Hybrid-Cloud tutorials for Microsoft Azure.
It is possible to also filter HTTPS in just several clicks. For more information see article HTTPS Filtering.
The same pre-configured web filtering proxy appliance can be deployed on-premises using VMware ESXi/vSphere or Microsoft Hyper-V. See more information at https://www.diladele.com/download.html.