So basically, do I download the file, and run it. Then use CGminer and point to the stratum url?
Download official Windows binaries (EXE) or source package for Linux.
Run downloaded file. Console window will appear and proxy automatically connects to the pool. No command-line parameters required.
Now just change the URL in your miners from http://api.bitcoin.cz/ to http://localhost:8332/. Miners connect to the proxy using the old protocol, but the proxy talks to the pool by the new one!
If you have more mining rigs on the same location, you can connect all of them towards this one mining proxy. It means that on every other mining rig you will replace the URL http://api.bitcoin.cz:8332/ by http://IP_OF_PROXY_COMPUTER:8332/ .
You're done now! If you configured everything properly, you'll see share submissions in the proxy window.