If they are blocking websites from the firewall, which I assume they are, then even a proxy server won't really help.
But do not fear, there might be a way even still!
Assuming that surfing pron is worth your job, you can setup a home PC as a RDP server and connect to it from work with an RDP client, assuming that your place of employment doesn't have the RDP port shut down (which depending on how good your IT security folks are, may or may not be the case). If you _can_ access your RDP server from home you can surf from your home PC while at work.
Of course if they're watching the firewall logs they'll know you're using RDP and probably shut that down also. Or fire you for violating the IT policy.