Here is a little guide to setting up a proxy for both IE and FireFox.
First I'd go to http://www.samair.ru/proxy and choose yourself a good Elite Proxy or Elite Proxy +, the first few ones may not work, or may work extremely slow.

IE
Click Tools> Internet Options
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Click on the connections tab.
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Click the button labled "Lan Settings"> Check the box labled "Use a proxy server for your LAN"
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Click "Advanced" enter the info for the proxy you choose, In the "Proxy Address" collumn enter the IP address it gave you, or the number before the ":", and in the "Port" collumn enter the Port Number, or the number after the ":"
Then click OK> OK> OK>
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FireFox

Go to Tools> Options
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Go to "General" and click connection settings.
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Check the box labled "Manually Configure Proxy", enter the Proxy info the same way as it was done in the IE guide, IP Address first (numbers before the ":"), Port Number second (numbers after the ":")
Then click OK> OK
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Thanks little0run, That will be really helpful for people who don't have much idea about INTERNET PROXY.

For people who have never heard about what a proxy is, Here are few definations picked from the web.


In short, Using a PROXY SERVER will help you to hide your Original IP address and your personal information which is transmited when you are browsing the web. Some people use it for cheating sites since it cloaks or changes your IP address. ;-)

That's true but there is one person who knows everything you're visiting ... the guy behind the proxy server. Better use a proxy that you can trust. A proxy maintains a log of every packet that passes through it including the originating IP address. So, don't think you are completely safe just because you are using a proxy.

If you want complete anonymity, I would suggest you use TOR. It kind of branches out to different computers all over the globe so that it's almost impossible to trace the IP of the system from where it's originating.

Keywordd almost nearly anything can be traced, there is never complete anonimity these days, even the best of proxies have weakness's I believe Java and ActiveX have the ability to get past proxies, although they aren't always a good bet if you want to get an IP.
People will find way to violate your privacy, whether it's as big as hacking into your info, or finding out the small bits and peices from an IP.

setting up a proxy may interfere your internet connection, whether it'll go faster or go slower. Usually ISP assigns DNS servers that has a high speed average of bandwidth and can accumulate multi-threaded data packets. But sometime, they also put/ assign DNS servers that are crap and is/are slower than the add-on proxy server. So before changing proxies, determine first ISP current DNS server and let it ping. If it pings for a short time, the server signifies a faster response from the net to your computer.