My apologies Mendels,
I noticed in your post you did not specify which proxy you were talking about, so I thought you were talking about the WWW. Any way, I will do my best to explain this a bit further for you, but this could require more posts depending on the setup of each of your external IP addresses.. .because potentially, you could have multiple external IP Addresses, assigned by your ISP that could all have the same Gateway.
When you find the properties of any Proxy Service, whether its the WWW Proxy, RTSP Proxy, Telenet Proxy etc... there is a "Gateways" option. That is the option to specify which gateway is used by the proxy.