The following information can get you fired!
*Ahem*
You can use SSH to run a private proxy from home. That's what I do...
Now, at your job, they are probably monitoring your connection there and where you go... If they see a mysterious SSH connection to a local cable IP, they will get very curious and start checking your computer... There is a way to pass that though...
If you switch your SSH listening port to port 80, then you should be alright. It's not as noticable as a connection to port 22... Also, a lot of these businesses don't have time to check every website on every computer. Instead, they have a program that checks ports. If they see a computer is connected to an odd port such as 22, 21 135, 165, 3128 and etc. The program sounds alarms... However, if you're using port 80, then the program is fooled into thinking it's a http connection...
I mean, don't get me wrong. The admins of your job's network could be smarter than you think! They could check the packets sent from your computer and see that they're encrypted and start asking you questions! So, use this info at your own risk!