Incoming Connections from the Proxy Server

I use a proxy-server to connect to the internet, the firewall version 3 is warking properly, but lately I have noticed that there are too many intrusion attempt blocked. Having checked the log I found out that the firewall blocks the incoming connections from the proxy from it’s standart port, which normally is used to connect to it, to my local ports (random) as the recieving application my browser (internet explorer 6 is signed)
As everithing is still is wawrking properly I do not concider this to be critical, but I would like to know why does the proxy need to connect to me, атв should I change the firewall rules in order to prevent the firewall from blocking this activity?

thank you fjr answering…

-the proxy type is HTTP 1.1
-the cfp version is
-all filtering rules (aka Global Rules, and ie reles) are standart (defined druing installation)
-in is unlikely that I do have troyan or a virus program. use comodo anti-virus with the letest definitions. perform scaning regularly.