I agree that it's a terrible idea.
With that said, here's a way you can do it....
I've never used it, but I have seen on various distributions of the DD-WRT firmware for routers you can have an ad automatically inserted in for you. I don't know the details of how it works, but would probably be a lot easier then setting up your own separate proxy and rerouting everything manually as this would take place directly at the router.
Others have mentioned people getting around it using VPN's, DD-WRT can for the most part prevent these.
There's a demo of the dd-wrt setup here.
You can buy some Routers with DD-WRT already on them, others are advertised as Compatible. For a complete list of devices that support it, go here, you may already have a router that supports it. There are some very good directions on how to change your firmware from stock to DD-WRT, but you will still need a little technical skill and knowledge.
Depending on what router you have or get, DD-WRT can unlock all sorts of potential if it's a powerful enough router. I recently turned a router into a 'wireless bridge' to connect my bluray player to the internet instead of running a cable from my office to the living room or spending $80 on a usb dongle for it.