Yeah, I know what you mean and understand how you feel. keep in mind, most people who are employees (not contract or union), are "at will". This means an employer can fire you for no reason and you can quit for no reason. If you are fired "for cause", that is something that is hard to clean up.
I (like Kev), think you are pretty lucky to be able to surf at work. I would watch the content of your surfing habits at work in the same way you watch what you say and write. There is no privacy expected for any at-work activity. They look at it this way: You are using their equipment, their bandwidth, and their time. they can read your email, look at your files, whatever....
The company I work for has pretty sophisticated firewalls and internet filters We cannot have access to broad categories of sites; guns; pornography, personal networking; file sharing; streaming media; proxy sites and many others... even if it were required as part of doing something for our customers, they would not be able to justify the IT support to open access selectively. They even meter access to sites so that you can only use 1/2 hr a day on personal surfing! (I still don't know what that is or what trips the meter...)
What I understand from my experience, is that these filters and logs are in place all the time. They only get looked at when someone complains or as part of a random check.
If they didn't come across you in a random check, then someone complained. Perhaps a co-worker was irritated that you were surfing in general, or was somehow intimidated that they saw a gun site on your screen. (people are weird and make crazy assumptions)
In either case, they have the right to limit your access any way they see fit when you are using their equipment or their time.... IMHO- you would be well served to limit the browsing in general and especially stay away from the proxy sites... its just a can of worms you dont need to open.
Think of it this way- you got a friendly warning...

(I am sure it didn't feel that way with "Mr. Security" talking with you.)
Remember, Dilbert, the Office or Better of Ted, wouldn't be so funny without real HR storiesl!!!
-jc