And that's the downside as well as the upside of a proxy server. Sometimes, you'll need components of a web site, that you wouldn't get through a proxy server.
When a proxy server isn't a useful solution, consider using a sandbox.
Antivirus programs, like Norton / Symantec, have been using sandboxes, for years. Now, you can run your browser in a sandbox too. SandboxIE was originally written to "Sandbox IE", as in Internet Explorer. Internet Explorer, before V7, was well known to be insecure, prompting the development of SandboxIE. But SandboxIE will run other programs, as in other browsers, just as well as it will run Internet Explorer.
Sandboxie intercepts changes to both your files and registry settings, making it virtually impossible for any software to reach outside the sandbox.You can run two instances of your browser - one inside SandBoxIE, and a second outside SandBoxIE, to produce parallel results for various reasons.
Sandboxie traps cached browser items into the sandbox as a by-product of normal operation, so when you flush the sandbox, all the history records and other side-effects of your browsing disappear as well.
If I advise you to go Porn\\\\Next Blog surfing, so you can see why your blog isn't getting as much random traffic as it should, or why your page rank has slipped again, I'll advise you to run your browser within SandboxIE, for safety.