Block Web Sites filtered by proxy with FW Rule

Referencing back to this forum post - https://www-secure.symantec.com/connect/forums/blo....

- Essentially when trying to block a DNS Domain with a FW rule, traffic is blocked if it does not traferse a proxy server. A simple test enabling/disabling the proxy server settings in the web browser proves this problem

How do I block traffic to DNS Domain e.g *.yahoo.com when that in fact is filtered by and probably offered by the proxy server?

Are there any updates & thoughts on this problem?

Thanks