I want to block all CONNECT HTTP requests to my linux server. I run Ubuntu 10.04 server edition. I am a new bee to server setups/deployment, please help.
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By default a web server which does not have proxying enabled, is not going to serve them anyway.
You can't "block requests", only have the server refuse to serve them.
If you run a server on the public internet, from time to time people will send strange requests to it, this is either faulty (possible) or malicious (more likely) software trying to do something it can't. You can't stop it, just live with it.