Add the following into the "Custom configuration lines" text box on the DHCP Server configuration page in the EFW web-management console, substituting a.b.c.d for the IP Address of your EFW router:
option wpad code 252 = text; option wpad "http://a.b.c.d/wpad.dat";
In the first line you're telling your DHCP server that option 252 is going to be an ASCII text string with the name wpad. In the second line you're assigning a string to that option so the server can give it out to clients. What you're doing here is giving your DHCP clients the URL for a Proxy Auto-Config file, that will tell them the location of the proxy server and possibly some other options. If you want to check out the PAC file that EFW creates for you, open up that wpad.dat file from your router and take a look at it.
Option 252 is still only a draft, but it's used commonly enough that many DHCP clients and servers implement it.