If your users MUST go through the proxy to access the web then simply remove any physical route to the external network from direct connection to the LAN and use the proxy server as the LAN's only internet gateway.
Anything else leaves the potential for someone to get around the proxy server. In terms of your diagram then, I'd move the proxy so its connected between the router R1 and the firewall.
I realise this would mean some extra work configuring the connection between the servers and the internet so they are not filtered but if when you say the connection must be filtered for the users you really do mean that it really must with no possible exceptions or workarounds then I reckon you have little choice.
We do this using ISA Server/Forefront TMG as we're mainly a Microsoft shop, and it actually works really well.
Update Based on your recent edit and new diagram
1) Where should I place the "internal servers"(by that I mean the Directory services and the Messaging servers)?
-Should they be in the DMZ or should they be in the internal network?
I would place them on the internal network, e.g. behind the content filtering proxy.
It removes layers of complexity between them and their clients, and gives you an opportunity to content filter messaging content should you wish.
2) If they must be in the internal N/W, how can it establish site-to-site connections (AD for example)?
Not sure what you mean here? Site connections to what? In any case, I don't see a change here - to go between physical sites across (say) the internet then you can use a VPN, which is how you presumably would have done it before?
3) Is the Proxy server placed at the correct place?
In my opinion, yes - your new proposal is essentially what we do (we use back to back firewall config with the LAN filtered by Forefront TMG which does proxying as well as firewalling) and reflects what I suggested in my original version of this reply.
Beyond that, does it feel right to you? Do you think it achieves what you hope to achieve - there are lots of "correct" ways to design a network but in my opinion the "best" way is less about using any particular technology or methodology and more about creating a set-up that's appropriate for the budget, the level of service required and one that makes sense to the people who have to support it.
4) Is it of any use having the IPS devices shown above ?
Whether its worth having them at all is arguably a whole different question; getting good use out of IPS is arguably a specialist subject all on its own. Putting that aside for now, you've put them in what I think are reasonable places.