Linux Proxy and Windows Client

Hello. I have a Windows 2000 machine and accessing the Internet through a Linux Proxy Server. Obviously, for surfing, i use a Web Browser that can use a proxy. But, int this way, i cannot use a program that does not understand a proxy (a program that expects to fully access every valid IP in the planet) because the proxy is standing betweeen me and the outside world. I was told that the Microsoft Proxy Client could subsanate this problem, but it obviously doesn't work with Linux Proxy servers, isn't it? Is there a way that i can see the outer IPs in a transparent manner?

Thanks
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