Open a terminal window on your Mac, then replace the word "putty" with the word "ssh" in the other example, like this:
ssh my.home.sme -L 3128:127.0.0.1:3128 -l root
If you have changed the default port for sshd on your SME server, you need to specify the new port on the commandline:
ssh my.home.sme -L 3128:127.0.0.1:3128 -l root -p 2222
(If using putty, the "port" command-line option is a capital P instead of a lower case p)
For my son's macbook, I did some searching and found an app that allows you to do the above using your mouse and an icon, instead of always doing it manually...