1. Download the zip-file from the official site.
2. Un-zip the files into a folder, like E:\Downloads\nginx
3. Follow the beginner's guide to learn basic of Nginx
4. Below is the final nginx.conf

e:\Downloads\tools\nginx\conf>type nginx.conf
#user  nobody;
worker_processes  1;

events {
    worker_connections  1024;
}

http {
        server {
                listen  8081;
                location /{
                        root e:/Downloads/tools/nginx/html/data/www;
                }
                location /images/{
                        root e:/Downloads/tools/nginx/html/data/;
                }
        }
}

Reference

• A blog post about PROXY
• Download from Nginx site
• Nginx beginner's Guide
• Nginx load-balance to Tomcat