Interenet access through a proxy, can't use my own DNS

My internet is connected through a proxy server, which is in .pac type. I read the content of the proxy.pac and generally it says "if destination is local site then connect directly, otherwise go through the proxy server *proxyip*:3128".

The problem is that I find I can't set my own DNS address but have to use the automatic DNS. When I set my own DNS address, I find I can't connect to internet. I am currently using tor to browse and it works ok as I set in tor that I'm connected through a proxy server. Nevertheless, even tor warns me in log:

"Potentially Dangerous Connection! - One of your applications established a connection through Tor to *some ip addresses* using a protocol that may leak information about your destination. Please ensure you configure your applications to use only SOCKS4a or SOCKS5 with remote hostname resolution."

I'd like to know if it's the proxy that's forcing me to use their DNS and if there's a solution for this.

Thank you.

#edit: I'm sorry admin if this belongs to the "privacy problem section". You can move it there if it's neccessary.