Althogh previous answer is correct, it is not complete, so I thought answering this question myself the way it worked for me so i may help other with the same need. (my PC is windows and my server is Linux)
download and install squid proxy for windows.
follow these steps
Use putty to SSH to your linux box
before connecting to your linux box, go to Connection->SSH->Tunnels option (if you have a session with your server information saved in putty, remember to load it first)
in the "Source port" field enter 3128
in the "Destination" field enter localhost:3128
in the options below, select "Remote"
once connected to your remote linux box, enter the following command
from now on, every wget or curl you execute, it will use your SSH reverse connection to go to the internet through your PC connection.
In case you are using a Linux PC and want to give internet access to your Linux Server, you won't be using putty, but your own ssh client. In this case, edit the file (or create) ~/.ssh/config and enter the following
RemoteForward 3128 127.0.0.1:3128
RemoteForward 52698 127.0.0.1:52698
This will create the reverse connection to your linux PC
I hope this lights up the way to some lost souls as I once was...