Personally I have set up my Raspberry pi with an external hard drive making it an ideal file share server on the local network. The go-to file sharing application, that is compatible with Windows file sharing, on linux is Samba. This tutorial will help you set up Samba and samba users so you can control access to different folders on your file share.
Privoxy is a privacy-minded and non caching proxy. It will allow you to connect to you pi and have it filter information that is sent about your systems to websites as well as ads. This tutorial will show you how to set up Privoxy as well as secure your connection to your pi. This last part can come in handy when you're connected to a public wifi network or another network where you would want to hide details about your browser's internet traffic.