If you're on AOL and use Internet Explorer, it would still go through AOL's servers

I haven't found AOL's info but amongst the (admittedly dated) advice Wikipedia gave to users finding themselves blocked by the MediaWiki software (and a block on AOL proxies) I find:

"Use a different web browser such as Mozilla Firefox or Opera. These browsers are not configured to use the AOL proxies by default.

OK IE isn't mentioned but I'd guess it would be like Firefox, etc.