Most products that properly funded IT departments use to block ads are also capable of blocking proxy servers and VPN connections, so expect some difficulty. Any solution to circumvent this has a high probability of needing the IT department's cooperation. Even if you can do it without their help, it's probably in violation of some company policy.
A proxy server is one way to do this, but there may be simpler ways, depending on the product they are using for blocking access. The IT department may be able to relax the restrictions for that user, and beef up the PC's malware and virus protection software. Using Internet ads is currently one of the most common and effective ways to deliver malware and exploit computers, so the threat needs to be taken very seriously. Even the big reputable sites have been known inadvertently host malware.
Is it practical to ask the IT department to do this? That depends largely on the value this employee could provide to the company. He might need to make a good business case that the value of him being able to view the ads will benefit the company enough to offset the additional cost and risk.
The safest way for him to do this is to view the ads on a dedicated computer which is on a separate network, such as a laptop with MiFi or a dedicated broadband connection. This isn't the cheapest solution, but it's simple. Depending on how he does his job, this might hinder his workflow. For example, it would be difficult to copy and paste from the isolated computer to the one he writes his reports on.