Users bypassing Proxy & Firewall

Hi, we use MS Proxy 2.0 with SP1 for our win95/98 MSP Clients. Now the users here simply remove settings of Proxy (port 8080, auto config) from IE 5.0 / 5.5 connection & browse the whole internet. We use XStop but even that does not show up. I have reinstalled MSPClients on PCs but got nowhere !! HELP !!