Proxy server problem

I have a windows server 2003 station that is the domain controller on my network. i installed on it 602lansuite as proxy server. now when i put for the users the proxy in the internet explorer and the local are connection settings are all filled correctly without a default gateway, the internet and proxy work fine, but when a users ads the ip of the server as the default gateway and he removes it from the internet explorer options, the internet still works and the proxy is useless the users can access anything they want. any help on that subject ?