The main switch probably has a default route to the proxy if that is what you are going through to get to the internet. Just make sure that route is pointed to the LAN IP address of the Proxy.
To eliminate any configuration you need on the modem, just use the WAN IP address of the Proxy as the new WAN IP of the PIX. You will then need to create a new network between the Pix and the Proxy. Maybe a /30 network for just two IP addresses. For testing you should use a bigger subnet so you can troubleshoot issues by testing a computer in the Pix/Proxy network to see which side is not configured correctly.
Basically you just have to make sure the PIX is configured correctly to block and pass traffic and the connection between the PIX and the Proxy is working.