Do you have all routing set up correctly? Is the network that
192.168.3.250 is on in the same subnet as one of the firewall interfaces?
Or is it a separate network? You'd need to add a route for it if it's
separate.
I had something funky happen with my routes at one point and had to
re-add.
Another way is if you want traffic to go to the proxy server BEFORE going
to your OpenBSD/pf box, you can create a proxy automatic configuration
file for use in the browser (.pac) which is usually written in java, but
would require the browser to be configured with the .pac host/file name.
Or