Privacy and Java-based chats

Hi everybody,

I have a curiosity/problem: How can I chat (really) anonymously using chat services based on Java, with Windows XP and Internet Explorer 7 or 8?
I mean, I don't use "particular" chats, nor I do "strange" things when I'm chatting... but the idea that I'm not really anonymous annoys me somewhat... To surf anonymously I use the JonDo client practically, a Java program which works as a filter between my PC and a mix of remote servers. It is sufficient to configure the browser (or other program) to use a local proxy (127.0.0.1) on port 4001, and Bob's your uncle! If after setting the local proxy I try to surf (or download a file, using a client that supports proxies) but JonDo is off, everything is rightly blocked.
However, the issue is with Java-based chats. Although I set the proxy in the Java control panel (Start-->Control panel-->Java-->General-->Network-->Option "Use proxy server", with values 127.0.0.1 and 4001), even when JonDo is off, the chat window is opened, and, worst, I can normally chat! Still in the Java control panel, in "Advanced network settings", I have specified that the proxy must be used for all kinds of servers (HTTP, Secure, FTP, Socks), but the problem persists:
JonDo is bypassed without batting an eyelid...

Can anyone reveal the mystery? Why with Java programs opening in new windows the browser and Java settings are ignored?

Thank you very much in advance!!

Mike