For your Linux box to do all of the above, you have to start from basics first. You need to install, configure and turn on the following applications. And you will have to master them all:
1) Firewall or what they call in linux as IPTables which took over what was known before as IPchains
2) DHCP server
3) Squid Proxy (Transparent Proxy)
All of the above is effectively managed using a terminal, the DOS Prompt equivalent in windows. You will need to install and configure 2 NICS. One connected to a modem and the other to a switch.
If you have mastered the above, then you can go ahead and configure the rest. A turtorial is best found over the internet. Meyo marami yan.
You can even do gamestreaming if you want to make it more intersting. And like I said, take the necessary precautions and make sure that your back up system is in place.