Proxy or Filtering Firewall ?

[fgb () domain com br]

Hi Wizards,

My questions today are about Proxy and Filtering Firewall. When should I use one or another? What are their differences 
? Is it possible to use both on the same Firewall box ?

I'm trying to use Squid and Ipfwadm on a Linux machine and I've had some difficults. 
When I deny the http access to the outside to some clients using Ipfwadm, based on their Ip address, It works fine when 
the client's browser is not configured to use the proxy, but when it is, the rule is bypassed. Is there any 
configuration on the squid.conf that makes 
this not happen ?

I also would be MUCH thankfull if someone poinst me some articles, papers, URL's, etc, that compares the Linux Firewall 
with others commercial Firewalls, or even show me the differences !

Thanks and regards,

Fabio.
fgb () domain com br