Ok I just confirmed that Windows is brain-dead in this regard, I
slapped up a Cisco 2600 I have sitting in my lab and enabled proxy-arp
on the directly connected interface and then setup a second interface
(So the router has someplace to send traffic to). So on my windows
machine I have a default gateway set to another router but windows
ignored that and sent my traffic for the test network to the router.
This is brain-dead, if I specify that 0.0.0.0 0.0.0.0 needs to go to
1.1.1.1 then it should not let some device arbitrarily tell my system
that it has a better route to that network unless that is something I
/want/ it it do.