Does anyone know how to setup a proxy to run off a USB key in-case the computer you are at has a secure firewall and you want to by pass and treat the PC you’re on as though there is no firewall for downloading etc.
I’m no expert at proxies so I hope an expert can give me some suggestions or maybe even a workable solution ?
You can’t bypass a firewall. If you can, change firewall, because it’s no good 
Like xhtmlcoder says, if you could bypass a firewall it would defeat its purpose. However, if you have the right authorisations, you can add exceptions to it, if it’s blocking an application that you don’t want blocked.
I understand the point of a firewall, I suppose I can only try with what will work with the firewall.
I want to bypass a firewall, I don’t want break the firewall as I know what the point of a firewall is, all I want to do is bypass some features that I don’t know, that the firewall could be blocking using something I can run off a USB Key.
If you’re having trouble using an application, why not add it to the program’s exception list (give it permission) or just temporarily disable it?
The whole point of a firewall is to act as a block-aid against unwanted incoming or outgoing data, if you can bypass it, the thing is useless. 
Is the firewall you wish to bypass on your own system/network?
You want to bypass a proxy filter? Or do you mean you want a portable Firewall? Like the Yoggie Firestick Pico USB stick firewall.
You shouldn’t be able to do the first as it would defeat the whole object of the firewall in the first place and shouldn’t even function - it would probably hang or crash your machine too.
If you mean bypass a web filtering software then some people use anonymous proxy sites but they leave themselves open to data theft; that is not advisable either under most circumstances.
Other than that I have totally misunderstood the question.