I'm not completely clear on what you are trying to do, but have a look at DD-WRT or OpenWRT. You can flash certain Linksys, Netgear, etc. routers with this Linux-based firmware and do all kinds of crazy things. You could, for example, separate your AV equipment from the rest of your network by assigning them to a different VLAN. As for connecting to a proxy, I'm not sure, but since it's Linux you could probably write your own script to do something like that.

OpenWRT: http://wiki.openwrt.org/toh/start
DD-WRT: http://www.dd-wrt.com/wiki/index.php/Supported_Devices