What OS are you using?
A good program in Linux is IPTraf (can only be run under root) which will show you exactly what info is going in and out through a certain network card, you should find this on your install CD. Or as R0n1n said ethereal for Windows.

The results shown belove are taken from my Squid Proxy Server log files:
GET http://antionline.com/
107...7054.107 RELEASE -1 FFFFFFFF 46F8F2...DB6AFD2CD02E 200 107...7060 -1 107...7053 application/x-javascript 5437/5437
GET http://mjxads.internet.com/Re...ads/...x280,468x60-2?
107...054.495 RELEASE -1 FFFFFFFF E8F7F6CC85DBB8...CDC1 200 1076807060 -1 107...7054 image/gif 43/43
GET http://mjxads.internet.com/...tm/it/...0326563353930?
107...054.725 RELEASE -1 FFFFFFFF 6ADBDCBB470...3A2B2D320D000 304 107...32 -1 -1 unknown -1/0
GET http://antionline.com/icom_inclu...foot.gif
107...4.784 SWAPOUT 00 000000A8 BAF69...0CFEF416C8 200 1076... 995129654 -1 image/gif 344/344
GET http://images.antionline.co...ns/icon4.gif
10...054.808 SW...0 000000A9 10CFE5E5D10F4BC2A...C96FC 200 1...6732 99...70 -1 image/gif 340/340
GET http://images.antionline.com/imag...1.gif
10...54.964 RELEASE -1 FFFFFFFF 3C0987...6B2BF740 304 10...733 -1 -1 unknown -1/0
GET http://antionline.com/icom_includes...ivide_foot.gif
107...055.052 RELEASE -1 FFFFFFFF 678...73EFEFAAE801C 304 107...733 -1 -1 unknown -1/0
This shows what information is being sent through the proxy server in order for it to then route it onto the internet and get the data.

[edit] Abreviated in order to protect privacy [/edit]