You could block all "non-proxy" access through the router by creating an access list doing so. The only IP you would allow through would be the proxy server's requests and then, only it's source address and proxy ports if you want to be very specific. As I understand it, when you configure a proxy setting in a browser, any request the browser makes (http, https, ftp, etc.) will be directed to only the proxy address and the default gateway will never be used. The PC would only use the default gateway for any non-browser client applications (VPN client software, telnet, ping, smtp, pop3, etc.) Of course, if you blocked all "non-proxy" traffic as I suggested, none of these applications wil work unless you modify your access list to allow them.