Every domain is required to have two domian name servers that are the Start of Authority (SOA) for their domain. Please read the related IETF RFC doccuments
http://www.dns.net/dnsrd/rfc/ for more details, start with RFC's 1033 1nd 1035.
Check Point DNS Proxy will only intercept "A" record requests for your domain. You still need a DNS server to serve up MX, NS and perhaps a few CNAME records as well. Therefore, their must be a pair of DNS servers somewhere that act as the SOA for your domain.
I typically recommend that clients implementing ISP Redundancy have thier ISP delegate a zone (e.g. zone.domain.tld) and use ISP Redundancies DNS Proxy to answer "A" record DNS querries only for that {zone.domain.tld}. With Check Point's DNS Proxy you would create two "A" records for your various hosts {host1.zone.domain.tld ISP-A (1.1.1.1) and (host1.zone.domain.tld ISP-B (2.2.2.2)}.
In this way, the top level domain SOA can remain with your ISP who probably has more experience with DNS and more robust DNS servers. Moving your entire domain name (domain.tld) to a pair or DNS (SOA) server behind a single firewall is probaly not the best design choice.
Regardless, you will still need to have a pair of DNS servers that act as the SOA for your domain or delegated zone. The difference is the impact on your top level domain, traffic traversing your Internet links and change management. As far as instructions on how to implent DNS, check with your OS vendors (Readhat has some great links, so does Microsoft). Read the last microsoft link below for a great overview of DNS.
http://en.wikipedia.org/wiki/Domain_name_system http://www.redhat.com/docs/manuals/e...e/ch-bind.html http://www.xenocafe.com/tutorials/dn...dhat-part1.php http://www.samspublishing.com/librar...eqNum=129&rl=1 http://support.microsoft.com/kb/172953 http://www.microsoft.com/technet/pro...n/w2kdns2.mspx