As long as you have the IP address of the proxy server, you can block it by creating a new rule in the firewall. Obtain the IP address of the anonymous proxy server from your Web server's logs.

If you use a free proxy service at work to evade your firewall filters, you may be putting yourself and your company at risk. ... Use A Proxy Server, Feed An Intel Service. ByJeffrey Carr.

OK, I wanna set up a firewall/proxy server for use on my personal network. I say personal because I'm already wired to my school's netork and I'm sick of getting hacked, ping bombed, etc etc ...

In the case of a proxy (or ALG), however, the HTTP proxy performs specific checks on the requests it allows through, so that many attacks on the server may fail to get through the firewall at all.