Ah, I see. Then I would also suggest that you carefully check your workplace rules for indication of what is acceptable use of the company's internet connectivity resources, etc - though it appears you missed the whole point of that warning. The company firewalled certain things for a reason - it may be to protect their computers, and it it may be to prevent certain types of surfing at work, or both.
Well then I wouldn't worry about it ...
Sure I did. You question was:
My answer was "YMMV". Some customers have done it, and they have had varying degrees of success.
You never asked "how" to do it, only if "is there any way" to do it. If I had understood more clearly what you wanted to know, I might have answered differently.
At any rate, you can install a proxy script in your server space. There are several around (hotscripts.com?) - many people like CGIProxy, but there are others. If you install such a script and want to keep it exclusively for your use (and unavailable to the public) make sure you configure it that way (apache authentication, program configurations settings, etc.).