to create plugins:
http://www.msgplus.net/index.php?view=plugins
http://www2.cs.man.ac.uk/~morleyd3/articles/plusAPI/mp_api.pdf
proxy:
That isn't easy if you are a first-time programmer. There are some sample source codes on the net. Search google: "proxy source". Or maybe, if you're realy lucky, some plugin-developper will share it's source for a proxy with you...
Also try
http://www.msnfanatic.com/ (when it is back online).
Also, proxies are possible with a plugin, but I dunno how much experience you have 'cause this is very advanced programming and you need some "tricks" to implement it within a plugin.
As you can see, everything depends on what you want to do and how much experience you have.
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