At work, I need to connect to a customer network via VPN at times, and doing so, I need to set a proxy.
I think you actually might not want to use that proxy, as I expect you do not want to send ALL traffic through the customer's server. The fact that you cannot browse without that proxy is probably an indication that you are actually sending ALL traffic through the VPN.
When all traffic is sent through the VPN, then even "normal" internet access (like web browsing or maybe even sending and fetching email) is routed through the remote VPN server. This might be useful when traveling in some countries that filter certain web sites. And as the VPN connection is encrypted, using it for all traffic might also be more secure when not knowing who can listen in to the network that is used to connect to the internet (hotel, internet café, Starbucks WiFi, ...). Above all: it might be a bit more secure as any "hacker" (trojan horse, spyware) who has gained access to your workstation will be disconnected as soon as the VPN connection is started, thus not exposing the server's network to that security threat. It depends on the set up of the VPN server whether or not such unwanted trojan traffic could be re-established through the VPN server. To avoid security issues, internet access through the VPN server is often simply disallowed.
So, sending all traffic through VPN may very well be preferred in many occasions, and often one should NOT try to bypass any limitations as set up by the administrator. But I wonder if that is true while connecting to a customer's VPN server.
I would say:
- Just keep the VPN connection alive as short as possible, and while connected do not use the connection for anything else. (Browsing, email, instant messaging, ...; do you want your customer to be able to track your traffic?)
- If you really need to use other resources on the internet, then your customer's policy might tell you to use their proxy. If so, then indeed you have no choice. (I assume that proxy is theirs, for otherwise you wouldn't be able to use it without disabling sending all traffic through the VPN to start with, unless it has some local address that might not be routed through the VPN connection? If it is not theirs, but just a way to avoid blocked ports, then think twice...)
- If the customer is OK with not using their proxy, and if you really need the browser, and if you're sure your workstation is secure: disable sending all traffic through the VPN.
Windows by default sends all traffic over VPN, but a Mac does not. (On a Mac, the Advanced button shows an option "Send all traffic over VPN connection". Windows has a simular option, but I can't tell you where to find that exactly.)
EDIT: changed the recommendation.