il corra walks you through building mysql-proxy for ubuntu.
il corra » mysql-proxy on ubuntu 7.04 feisty
First of all, there is not a packetized mysql-proxy for Ubuntu, so the only way to install it is to build it from the source
Which is great. But I'd like to take this opportunity to tell people that I've actually been working on packages for debian/ubuntu. They're almost ready to be released into the wild (I'm waiting on an almost non-related event) If you'd like to play with the packaging stuff before then, check out http://launchpad.net/mysql-proxy
I'll be sure to let everyone know when the packages themselves are in an APT repository.