Not really sure what you mean, but if I'm reading this right, it should be possible...

afaik you want to connect through a proxy that's running on your LAN...
well, just install proxyplus, or any other freeware app on the comp you want to connect through, setup an account, and you're set...
I used to have winroute pro, I've tried Proxy+, but now I don't see the need of it anymore since I use a router...
I hope this helped ya a bit...

Zyne