You may want to start by filtering these (Web Shield - Customize - Web Scanning): HTML,HTM,EXE,COM,ZIP,PDF,TXT
As for the proxy settings, if you are using Firefox: Options - Advanced - Network - Settings (see attached graphic).
I notice that in your image, you have the Use this proxy for all protocols.
I believe that is wrong and may impact on the web shield as:
a) It only monitors HTTP traffic (port 80) and is expecting that traffic to use the HTTP Protocol.
b) If for whatever reason other Protocols use the proxy then the web shield would be expecting HTTP and not other protocols and 'may' spend time trying to scan it.
