How can I set up my router to only accept internet access through a proxy server?

I've posted this question earlier, but was perhaps, a bit long-winded, so I 
will to be more precise here.

I have a Kubuntu Linux box connected to my router via cable.  Everything is 
working and checks out ok on the "SHIELDS UP" website.  However, I would now 
like to set it up so internet access is only permitted through a proxy (port 
8080) so I can use Dansguardian for virus and content filtering.

How do I do that?  Do I create a custom protocol between Zone "LAN" and 
Zone "LOCAL"?  

[LOCAL only connects to LAN through the proxy, and LAN connects to INTERNET 
using the protocols that have already passed on "SHIELDS UP"...do I have that 
right?]

Hopefully, this version of question is more to the point.

Thanks again,

Joe


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