The BB browser doesn't use a proxy as far as I know, however Opera Mini does and that does skew the speed tests. But, IMHO, none of the tests are really optimized and made for cellular devices so any speed reading is suspect.
In your example, most web pages are not optimized for cell based mobile devices so their loading takes time.
That being said, you should see speeds in the range of 400-900 kbps for 3G and 50-125 kbps for EDGE. 250-300 kbps isn't that bad. I think you should see some decent speeds while tethering however, since the PC should have more horsepower than the BB.
And keep in mind that your speed depends on many factors, most of which are outside your control: device processor, device memory, distance tot he tower, tower congestion and the connection itself are some of them.