Proxy in most effective way of controlling LAN connection to WAN, unfortunately you won't be able to do anything if it is controlled by your network administrator
A proxy server is a server (a computer system ) that acts as an intermediary for requests from clients seeking resources from other servers.
Start Internet Explorer.
Click on Tools, Internet Options.
Click on Connections Tab, select your Network Connection and click on Settings.
Check on Use a Proxy Server for this Connection.
In the Address field, add the IP Address of your Proxy server. In the Port field, enter the Port Number.
Click on OK and OK again.