If you have your own web site or domain name you can set that up to act as your OpenID, while still using idproxy.net to manage your identity.
Simply paste the following two lines of HTML in to the <head> section of your homepage:
<link rel="openid.server" href="http://idproxy.net/openid/server/">
<link rel="openid.delegate" href="http://YOUR-OPENID.idproxy.net/">(Don't forget to end those tags with /> if you are using XHTML.)
You can then use your regular site's URL as your OpenID.
You can read more about this trick in How to turn your blog in to an OpenID or OpenID for non-SuperUsers.