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More likely, you're on a corporate (or school) network. When you connect to the internet, you do so through the network. The network automatically logs all sites that all users visit, and from time to time the system administrator looks through the logs and reports any improper internet use to the relevant person - at which point you get sacked (or detention).
If you want to surf porn without getting busted you need to buy your own computer and pay for your own phone line and connection. If you use someone else's they can usually find out.
If you dont go through a proxy there is always your index.dat (ie) file which contains a history of all the sites you've ever been to. You need a special tool to clear it. just search for one on google