I have used Michal Zalewski’s Ratproxy on Google code. I like it a lot. But I also like to have it on Windows. But it seems that the makefile that comes with ratproxy is not really compatible with cygwin.
If you have the gcc, make, openssl, openssl-dev packages installed on cygwin, all you need to do is remove the -Wno-pointer flag from the CFLAGS entry from the Makefile.
So my Makefile’s CFLAGS line looks like:

CFLAGS  = -Wall -O3 -D_GNU_SOURCE

I also replaced $(CC) with gcc just because I felt like it. 🙂
Compile it with make command.
Do not forget to dos2unix the ratproxy-report.sh otherwise you will get some errors with ‘\r’ and some other random stuff when you run the report generator shell scripts.
Run ratproxy as :
c:\tools\ratproxy>ratproxy.exe -p 8000 -v c:\testdir -w ratlog -d example.com -extifscfjmXCk
Once you have the log to generate a nice looking pretty report:
bash$ ./ratproxy-report.sh ratlog >reportname.html

Update 06/20/2012:
If you get the error shown below:
ratproxy.c: In function `listen_loop':
ratproxy.c:1635:5: error: incompatible type for argument 2 of `waitpid'
/usr/include/sys/wait.h:43:7: note: expected `__wait_status_ptr_t' but argument
is of type `unsigned int *'
Makefile:30: recipe for target `ratproxy' failed
make: *** [ratproxy] Error 1

Do the following:
1. Go to line # 1635 and change the line to while (waitpid(-1,(int*)&x,WNOHANG) > 0);
2. Goto the command line and type

make

You should be able to compile ratproxy.