Firstly, it depends on whether you're able to change proxy settings. If these are locked down at the system level it might be hard, but installing a third-party browser such as Firefox which handles its proxy settings for itself might allow you to customise these settings.
This was pretty much what I did on one of the University computers when I kept getting automated warning emails because the proxy thought that freshmeat.net was a porn site.
Some networks will not allow external communication unless it is through a proxy, so your options are to either use the proxy provided, or go through an external one.