We are having a problem with users removing the proxy setting and bypassing
the firewall.

Our thoughts were that if the user didn't have the proxy, that they would
not get to the internet. Maybe we're wrong in our thinking. If not, then
we obviously have something configured incorrectly so I need some guidance.

For our BM configuration (38SP3) we have HTTP, FTP, News, Real Audio, and
DNS Proxy configured with rules for denying sites using Linkwall.

We also have NAT and Routing Enabled. The Filters are currently Disabled.

Any help would be greatly appreciated.