When I try accessing websites like geocaching.com, it says that you cannot connect through an anonymous proxy. This isn't specific to that website or a single computer.
All computers run Firefox and Windows 7.
I tried geocaching.com, it worked for me.
I guess you need to give more info on your settings etc.
I use Firefox and HH2.
I've told Firefox to not use a proxy. Same problem. Making it use a proxy makes no difference.
Any other settings that you need to know?