Hello,
Do you have an acceptable use policy that your employees sign? See http://en.wikipedia.org/wiki/Acceptable_use_policy for some examples. An acceptable use policy and other policies will allow you to clearly inform your users as to appropriate activities and those that are less so. As well it would let them know the reality is they don't have the same privacy rights on work computers (depends on state law as well) as they do at home. The risks of the myriad of litigation are quite large and addressing them is quite important.
There are tons of solutions that would fit the bill for what you are trying to do but they will work or not depending on your current network setup and configuration. Performance wise the Unified Threat Management (unified/centralized security devices that are all in one security solutions such as Firewall, Proxy, IDS) are slower than separating out the boxes into distinct functions.
Another thing to think about it network segmentation. Are you locking down your network so that they cannot subvert your existing proxy solution. As well are users given administrative rights on their machine so they can install or change application or settings? Either way both of these can nullify your entire efforts.
I would check out a few affordable ones which I know well and can support, deploy and manage. All of these will be a fraction of the cost (lower TCO) of the big networking companies that I will not mention by name. As well I am suggesting commercially supported open source products because I assume you don't want to build your own solution with something like Ipcop/Smoothwall or Pfsense. If you really want you can buy those solutions as a hardware appliance or build it on a old server box. Let me know if you need any pointers and or help.
Endian (Build off of Ipcop and very cost effective)
http://www.endian.it/
Smoothwall
http://www.smoothwall.net/
Sonicwall (appliance only)
http://www.sonicwall.com/us/
Thanks,
Joseph
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