No problem, you can set the secondary IP on the proxy machine itself, not through the router. On Windows 7 you do this by going to network and sharing center -> change adapter settings ->  Right click adapter being used -> properties -> select IPv4 -> properties -> advanced -> add IP address. The primary IP has to be static in order to add another, I would recommend using static IPs anyway. You can set the IP to static on the main IPv4 properties page of the adapter. You may also have to change the DHCP pool range on your router, for example, I have my DCHP pool set tp 192.168.1.2 to 192.168.1.199 and my proxy has IPs of 192.168.1.200 and 192.168.1.201.