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Depending on the complexity of the scraping and warehousing requirments, I don't think it would take that long to do.
Personally I'd start with a third party component like Chilkat HTTP library which has built in proxing support and makes working with http uber simple.
You could easily house it on a webair $99 unmanaged windows server with 10mbit included bandwidth. SQL Server license is another $40 a month or something like that.
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