In order to use any proxy server to access the internet, you must first have access to that proxy server, which normally entails having access to the internet (unless you have some direct local connection to it network, but I assume this is not the case for you).
My guess about what your friends are doing is that they're most likely getting access to the internet through unsecured wireless access points (or they somehow hacked into them, such as by guessing passwords).
If they're using a proxy server that's only accessible over the internet, then they MUST first get access to the internet before they can use it.
With regard to "tricking the ISP's firewall," there's no trickery involved -- many proxy servers are accessible through TCP port 80 (or sometimes also 443) which ISPs normally don't block at all since TCP ports 80 and 443 are required to access web sites; if an ISP blocked these ports, then their customers would be calling them with "my internet isn't working" technical support questions.