Proxy problems

I build up proxy setup, I use windows 8 and IE 10 enterprise edition. When I define browser to use proxy at the LAN Setting. I saw that before the client making connection to the proxy with defined port (port 8888 In my case)  it's making connection to proxy with dest port 80. I checked that at windows XP with chrome and I don't see something  like that.

BR,

Rei