Not a technical problem but a people and policies problem. Prove that you need the access or that it improves efficiency (lots of studies available) and get the policy changed instead.
Using technology to circumvent policies should be a last resort where political censorship is in effect or so called human rights are ignored - and in a corporate setting one may think leaving an unsatisfactory position is perhaps the more logical action.
But yes you can if the "firewall" isn't too tight. Searching for windows http proxy returns a mass of easy-to-use free and commercial software.