A few ideas:
-- Try
www.anonymizer.com from work
-- If running XP Pro at home, connect to it using the Remote Desktop Connection client and run IE from your home desktop
-- Run a VNC server (
www.tightvnc.com) at home and connect from work via the vncviewer app - this works like the above RDP solution
Don't forget to open the necessary ports on your home firewall. RDP is 3389 and the VNC docs should tell you those port numbers.
You don't mention what sites you're trying to cnnect to, but your statement "to bypass the chaperone program at work" might lead me to believe they don't want you surfing anywhere you feel like. Company policy - love it or hate it - it's the desire of who writes your paycheck.