First of all, you are going to be very very hard pressed to block people from downloading files via HTTP. As far as the router knows and is concerned someone requesting a web site or downloading an ISO via HTTP are exactly the same thing. This is also true for HTTPS, and since it's encrypted you cannot reliably match connections. You need something that operates at layer7 to do this reliably. While the router does have some layer7 options, they are very CPU intensive and should be used as a last resort. You will also likely need to write your own regex to get it working the way you want. Since you are talking about using a proxy, you may be able to do that there however instead of on the router.
As for PCQ and Proxy working together. Depending on what box is running your proxy, and at this point I'm guessing you are using the built in proxy of the RouterBoard, you need to mark things on the appropriate chains and set up queues at the appropriate locations. When running the proxy on the router, either transparently or not, traffic is being redirected to the router and all requests are being handled by the router. This means since the router is handling and making all requests to the outside world, your HTTP etc. is now on the output chain of the router instead of forward.
Look at this diagram to determine where you need to mark traffic and set up your queues.
http://wiki.mikrotik.com/wiki/Packet_Flow#Diagram