Firefox behind a proxy

For reasons of being an evil dictator (loving father) my childrens computers access the internet through my computer using AnalogX's PROXY program.

After the initial setup IE 6 worked just fine. Microsoft update occasionally gives problems on the downloads, it forgets that there is a proxy.

Firefox however doesn't seem to behave. It will allow access to the net and loads some pages and other pages that it won't load it sends me to Google.

A rumor I read said it was messing up with the DNS because of the Proxy. The only DNS preference I found in WIN XP home SP2 is the TCP/IP set up. I'll add that this is also the problem with a Win2000 pro laptop. I'm reluctant to change these as they work for everything else.

Anybody seen this before I go anal and try to root this out?

Thanks