The router relies on DNS services like OpenDNS to block proxy sites. When you check “Block Proxy” in access control, the router blocks HTTP requests sent through a proxy (i.e., when the user has set up to use a proxy server in their browser Connection option), which is a technique DNS services do not block.
As far as we know, the best protection against proxy sites is OpenDNS.
@casino Proxy sites fetch pages on the requestor’s behalf from their servers, then send the pages as if they come from the proxy sites themselves. To the router, there’s no difference between a proxy site that fetches content from other sites and a real site that serves content on its own.