Zhenn: I observed a few entries in my Tiny logs where I was running the proxy and saw IE denied on a "blocked ports" rule. I never looked deeply into it; I reasoned that it might just be a good idea to keave IE blocked at the firewall, now that proxomitron is SSL capable (I was not running bypass, which still tunnels through the proxy, anyway, at the time. Here's an excerpt, showing a normal NB block on a local laptop, then showing IE trying to make what looks like its own outgoing connection. It seems to try a socks connection behind the proxy, on other occassions.
1,[2001-Jun-09 23:35:17] Rule 'Block NB WAN': Blocked: In UDP rhiannon [192.168.13.4:137]->localhost:137, Owner: SYSTEM
1,[2001-Jun-09 23:35:17] Rule 'Block NB WAN': Blocked: In UDP rhiannon [192.168.13.4:137]->localhost:137, Owner: SYSTEM
1,[2001-Jun-09 23:35:17] Rule 'Block NB WAN': Blocked: In UDP rhiannon [192.168.13.4:137]->localhost:137, Owner: SYSTEM
*--->1,[2001-Jun-10 00:01:15] Rule 'ANY': Blocked: Out TCP localhost:2179->209.123.109.175:80, Owner: C:\PROGRAM FILES\PLUS!\MICROSOFT INTERNET\IEXPLORE.EXE
*--->1,[2001-Jun-10 00:01:15] Rule 'ANY': Blocked: Out TCP localhost:2180->209.123.109.175:80, Owner: C:\PROGRAM FILES\PLUS!\MICROSOFT INTERNET\IEXPLORE.EXE
What's it mean? haven't checked it out in any detail, yet. I just take a stab in the dark and suggest that IE seems able to "look for" alternate connections, from time to time. Should I worry? I figure, not as long as I have IE unchecked for access at the firewall

... I leave my browsers unchecked and I only allow Proxomitron, and it seems to catch anything trying to slip around the proxy.
R2, Proxo and Internet Junkbuster, probably others, have a blockfile that works a lot like a hosts file, only, as noted, the proxy just drops the connection, so it never gets to where it would need to be null routed (basically what a hosts file does). If you have a proxy based filter that allows you to make IP block lists, you can do anything hosts can do, usually better, at the proxy. A proxy, by itself, by the way, is not a firewall, although some people try and use one that way. Don't. That's not what proxies are designed for. Good advice is to only run one along with a good packet filter "real" firewall, like ZA or Tiny.
Wildcatboy, you're right, they should be more careful, sometimes, to explain how the things work. Proxy servers are just made for the job of filtering, and usually work great. Set up right, they can be a great addition to security. Set up wrong, they can leave a hole in an otherwise great setup that you could drive a truck through. It's one of the best tools to get the job done, but, like so many very powerful tools that do a very good job set correctly, it has 2 edges if it's not, and cuts both ways.
To respond to yet another comment I may or may not have gotten correct (mind's the first thing that goes

), IE should NEVER be "accepting" connections. That is, IE never binds a port to listen during normal operations. Only a server should listen on a port for inbound connections; a browser should only ever generate outbounds. A client should establish connections only as needed. Win uses randomly assigned ports above 1024 to connect out. The server usually listens, on fixed port 80, but port 80 does NOT ever need to be open on a machine that only runs client apps; only an internet server needs that port on the local machine. IE should never be binding and listening to anything, and, if it is (never happened, in my experience) it should be denied at the firewall.
A very good topic for discussion, Judge. Thanks to all. I think these things are largely misunderstood, as far as the under-the-hood tech details, and this thread does more than just answer your questions (I hope) -- it goes a long way to helping educate users in using the things better. Good show!