Nim, 153 + 101 bytes

Server:

include httpclient
proc(n=0)=(var s,c=newSocket();s.bindAddr n.Port
s.listen
s.accept c;echo"REC"
c.send newHttpClient().getContent(c.recvLine);echo"OK")

Client:

import net
proc(n=0,u=""):string=(var c=newSocket();c.connect "*",n.Port
c.send u&"\n"
c.recv 999999)

Usage:

let s = <server proc>
s(2034)

let c = <client proc>
echo c(2034, "https://stackoverflow.com/")

$ nim r -d:ssl server.nim & (sleep 2s; nim r client.nim)

ZSH - 57 + 42 characters

Server:

s=$(nc -l $1)
echo REC
curl -s $s|nc 127.0.0.1 $1
echo OK

Client:

echo $2|nc 127.0.0.1 $1
echo "$(nc -l $1)"

Usage:

sudo zsh server.zsh 123

sudo zsh client.zsh 123 http://stackoverflow.com/
sudo zsh client.zsh 123 http://en.wikipedia.org/wiki/Proxy_server
sudo zsh client.zsh 123 "http://stackexchange.com/search?q=code+golf"