DNS and HTTP
The server is configured to be a caching dns server and a web proxy
The goal is to use both.
Using the DNS server
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Set kali to use the server as DNS server This is a different DNS server than the one given by the DHCP server. In network manager, there is a flag for specifying your own DNS server instead. See e.g. this stackoverflow question. 
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Use wiresharkto check that kali acutally uses the new server as DNS server.
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Oh no! It is not working even with the correct DNS server in Kali. What DNS trafic is the DNS server sending and receiving? 
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Correct the DNS server used by the server. It is done in /etc/dnsmasq.resolv.conf. Set it to use censurfridns.dk 
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Restart the service by doing service dnsmasq restart(as root)If it fails, reiterate and fix. 
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Collect your notes on how you tested, concluded and fixed the issues. 
Using the web proxy
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Read up on what a webproxy is, e.g. here and here The server is installed with squid 
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Use the server as a webproxy Change the configuration in your browser, see here or find a guide specific for your browser. Squidis running on port tcp/3128 on the server.
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Is it working? Use wireshark to show that you use the server as a proxy and that the proxy forwards the requests. Also, there are log files on the server in /var/log/squid. Use e.g.tail -f /var/log/squid/access.logto mnitor requests.
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Collect your notes on how you tested, concluded and fixed the issues.