This is my thoughts on your query:
If you a single user at home I would recommend a firewall but I do not see a need for a proxy. Proxies provide three levels of functionality. They cache webpages to reduce the access time to frequently visited static web pages. The second is to prevent access of unauthorized sites -for example many employers block porn sites and external e-mail provides such as hotmail. The 3rd is logging. Who visited which sites when. I find internet performance is generally better when not going through a proxy.

It is possible that your ISP directs you through a proxy but it is just as likely that they do not. I am in no way a proxy expert but that is my understanding of what they do. If a proxy is required and the proxy is properly configured you cannot access the internet without going through it. You tell Inernet Explore to go through a proxy via tools->internet options->connection->lan settings. Mozillia is done via Edit->preferences. Opera is File->preferences.

Cheers,
-D