Well it might be because when you set up Proximitron, you have to change your browser's proxy settings to point towards "localhost" as your proxy. If you don't run Proximitron, then you have to change the proxy settings back to whatever they were beforehands.
I might suggest that you have a read thru the FAQ on the Proximitron website to see if your problem hasn't already been fixed.
http://www.proxomitron.org/