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Connect Linksys DSL/Cable Router to Proxy.

Is it possible to setup a Linksys DSL/Cable router to connect to proxy?

I want to know if its possible to configure a linksys router to automatically connect to a proxy server for web access. Therefore there wouldn't be a need to configure each individual computer for proxy access, the router would be configured to do connect to the proxy?

I would like to do this with other brands as-well. It's ok though if it's only possible with linksys.

The proxy will be an external one, not on the same network. I see how you can setup linux on linksys routers and I figured it might be possible.

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I also have never seen a router that the default setup came that way. I was thinking of being able to create or use dd-wrt to set something up like this. Linksys wrt54g uses linux and therefore I was thinking that it might be possible to design or get something like that going.

The problem with setting individual proxy settings is that if a new browser is installed, the settings have to be entered in manually (ex. Firefox, Opera, etc). I figured a hardware device that would direct the traffic through the proxy would be perfect. I want it to just direct the traffic and not do any work serious proxy work that would involve a lot of mem or cpu power such as caching or filtering.

Thank you for your help though.
Hi pioneertechs,
I am a Linksys Tech. and I would Suggest you Not to change the GUI of the Linksys router if it is Under Warranty. That will cause you Voiding the warranty, and Not Linksys Technical Support can / shall assist you further. If it is Out of Warranty.... Go ahead and make the changes....We do not have a free support for Out of Warranty products anyways...

haha.  So Linksys owners have two choices.  

a)upgrade your router to give it it's useful features and not recieve support on them.
b)retain support on a router that has no features that need support!

I really didn't get an answer to this question.

Thanks for the comments though.
how do I close this question as unanswered?