I don't think proxies are going to work generally on Windows. The root of the problem is getting Windows to talk to two default gateways.

As far as I know you can't do this on Windows, at least not out of the box. You might remember we had a previous thread where I attempted this and ended up with a setup where Windows would ramdomly switch backwards and forwards between the two default gateways.

I expect you might get it to work for things like web browsing. But only if the router itself has a web proxy on it. If you then had a proxy on the Windows box pointed at the web proxy on the router that isn't the default gateway, that would probably work around the default gateway problem for web traffic.