Gary:
Basically, what you think is correct, but you need consider more before
doing this. In Windows Media Server SDK has lots information about cache
proxy server.  Please download the Windows Server SDK from link
"http://www.microsoft.com/windows/windowsmedia/download/default.asp"

Some basic ideal in the following, consider how you going to create cache
proxy plug-in. Can you do coding like VBS, or C type programming before
purchase software?

Cache Proxy ---
A Windows Media Server can stream content to a client from a local cache or
proxy it from an upstream server. If a cache proxy plug-in has been
enabled, the server queries it to determine what action the server must
take in response to a client's request for content. That is, the plug-in
sets the appropriate cache proxy policy, and the server carries it out. For
example, if the requested content is cached locally, the plug-in can direct
the server to stream it from cache. If the content does not exist locally
or exists but has expired, the plug-in can direct the server to both proxy
it from the origin and download it to local storage. The actual
implementation of the plug-in depends on you. In general, the plug-in can
direct the server to :

Disconnect the client.
Redirect the client to an alternate URL.
Redirect the client to an alternate proxy.
Play the requested content as a broadcast.
Play the requested content as an on-demand stream.
Windows Media Services does not include a cache proxy plug-in, but you can
create your own. For more information,

One more important item is :
To add cache proxy functionality to a Windows Media Server, you must
install and enable a cache proxy plug-in. Windows Media Services does not
include a cache plug-in, but you can purchase one from a Windows
Media?based caching partner or create your own by using this SDK. The
following sections discuss how to create a custom cache proxy plug-in. The
SDK also includes a basic proxy sample. For more information, WIndows Media
Server SDK.

Thanks for using Windows Media Services, hope this can give you a start
point.

David Chen
Digital Media Division
This posting is provided "AS IS" with no warranties, and confers no rights