In order to use any proxy server to access the internet, you must first have access to that proxy server, which normally entails having access to the internet (unless you have some direct local connection to it network, but I assume this is not the case for you).
My guess about what your friends are doing is that they're most likely getting access to the internet through unsecured wireless access points (or they somehow hacked into them, such as by guessing passwords).
If they're using a proxy server that's only accessible over the internet, then they MUST first get access to the internet before they can use it.
With regard to "tricking the ISP's firewall," there's no trickery involved -- many proxy servers are accessible through TCP port 80 (or sometimes also 443) which ISPs normally don't block at all since TCP ports 80 and 443 are required to access web sites; if an ISP blocked these ports, then their customers would be calling them with "my internet isn't working" technical support questions.
@ Randolf thanks for the reply. However i am still confused. I think that ISP checks the customers balance before allowing them to connect to the internet. Then how could they are able to access a Proxy server over the internet, when they have zero balance in their mobile phones. – Torpido – 2011-08-15T07:41:16.263
@Torpido: The zero balance [for phone-based internet access] you're referring to would prevent their access through the phone company's internet service. In this case, they must be using a local wireless access point (a.k.a., WiFi access) directly instead, which would be a function of the telephone device they're using that works independently of any cellular service. – Randolf Richardson – 2011-08-15T07:53:15.547
@ Randolf no they are not using any WiFi access point. They are using Proxy servers with Opera Mini and UC Browsers. – Torpido – 2011-08-16T07:14:55.827
@Torpido: Well, if they're not using a local wireless access point, then their phone company might be providing free access (this could be unintentional). The point is, even if using a proxy server somewhere, they need a means of communicating with that proxy server -- ISPs usually aren't concerned with what you're doing with their bandwidth (as long as you're not spamming or doing some other type of dark hacking), rather they're normally only concerned with how much bandwidth you're using (so they can bill you accordingly). – Randolf Richardson – 2011-08-16T14:48:19.890
@ Randolf ........ No their mobile companies are not providing any free access. Yes you are right in saying that they need to have access to the proxy server before using it. That's what i am unable to understand . How they are able to access proxy bypassing the ISP firewall ? I live in India and there are around 10 Telecom companies here. some how these are able to get free GPRS from any services provider using Modified Browsers and Proxies. – Torpido – 2011-08-17T16:18:05.967
@Torpido: My guess is that they're using someone else's credentials (probably without their permission). If they're claiming that they've discovered some sort of backdoor into GPRS, then ask them to show you how to do it (essentially, you'll be demanding proof -- I think it's far more likely that they're just using someone else's credentials). – Randolf Richardson – 2011-08-17T17:33:16.043
No they are not using someone else credential. I have the proof, i am using the modified Browsers and Apps uploaded by them on the forum to get free 3G and it's working. I think it's some kind of security drawback. I will have to dig deeper to know the answer. – Torpido – 2011-08-18T11:23:47.570