If you run a Bing search on the question you asked you'll end up with a ton of references regarding that subject to look over. The one thing about any filtering by proxy is that it won't protect against the snares seen in the report since you are not browsing the web but the web is coming to you instead.
There you are in control as far as what will alowed in. In contrast when out on the web you are more or less in the wilderness where cautions have to be observed or you can easily fall into....

"they got me!"