suppose you have already installed GT4 and sorted out all the security stuff.
1) copy GLOBUS_LOCATION/share/myproxy/myproxy-server.config to GLOBUS_LOCATION/etc/, uncomment these lines:
accepted_credentials "*"
authorized_retrievers "*"
default_retrievers "*"
authorized_renewers "*"
default_renewers "none"
2)
source $GLOBUS_LOCATION/etc/globus-user-env.csh
3)run
$GLOBUS_LOCATION/sbin/myproxy-server -d
If no errors found, restart myproxy-server without "-d" parameters