My (all Windows) office is hooked into a corporate LAN in a remote city. We're accessing the Internet via the corporate proxy server on their end.

For political reasons, there is not and will not be any filtering on the corporate proxy. But my team wants filtering.

Is there any way that we could set up a filtering solution from behind the proxy? Either workstation-by-workstation or full subnet solutions could work. 

We would be willing to invest a small amount of money, too; less than 100$ would probably be fine.

(go lightly, please... I'm very far from a networking pro!)