Am I or Aren't I using a proxy?

Most of the time when I connect to the internet I check on www.whatismyip.com to see if I'm connected via a proxy and it says I am. Sometimes it doesn't appear to detect one.

My ISP is adamant that they do not route my connection through any proxy servers and I'm not using any software/hardware to route my connection through a proxy server. Sometimes this appears to be the case but mostly some websites claim to detect a proxy server (others don't, however).

This normally wouldn't bother me but some websites that I want to access and use stop me from doing so because they do not accept users using proxy servers (some PTR sites for example).

Can anyone shed any light on this? None of my settings are configured for using a proxy and my ISP has been pretty useless at helping me.

 

Oh by the way I'm using Win XP, Zone Alarm Pro. I use Avant Browser (IE).