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Install the Proxy Server package. Just go to Package Manager in DSM and install Proxy Server.
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Edit squid.conf to tell it about your ad file. Ssh to the box, and edit the file
/var/packages/ProxyServer/target/squid/etc/squid.conf
(vi
is installed by default)
You're going to add 2 lines to this file. First, under the auth_param section, you're going to add:
acl ads dstdom_regex -i "/var/packages/ProxyServer/target/squid/etc/squid.adservers"