Proxy server issue

I'm looking for a best practices way, or just a proper way to handle the following scenario.

I have a proxy server that doesn't know which of my applications is going to connect to it, and I don't want to keep ports open just to have them open and listening because I may never use that application.

I have one user that wants to use Windows remote desktop and make a connection through this proxy server and therefore my proxy needs to listen to TCP port 3389, and another will use a web-browser so I need 80. But either of these (or other apps even) could use their own custom ports and therefore the proxy server would need to know that port to make available.

I know that sounds a little whack, but it's more of a practice in solving a particular problem I'm after and this little excercise is a big step in that direction. So I'm looking for any ideas on how this proxy could be configured/managed during runtime in order to make available the sockets, and make the connections to general off-the-shelf applications. If an app uses a port #, then it's likely expected that the app will always use that port number and shouldn't be changing.

I would like to know who would be configuring the ports. Do you want the proxy to have some sort of intelligence that it will automatically open the ports based on applications running in the network or there will be a sys-admin who would be doing it?

Try to use some kind of switcher which will combine ports