yes true best thing to do is use a proxy server this will work better because the ip address is masked, but this programe sounds slightly smarter as they can block by video rating unless im mistaking ,web filter maybe work at layer 7 so it would be diffcult to bypass that just by proxy if that the case
so it can be 1 of 2 types of firewall network firewall which u can bypass with proxy
or an application level firewall which im not sure how bypass