You could try reading about wingates, socks and proxies (oh before i forget, turn off java, javascript, cookies, what's related, and smart update ... if you are using IE you're not very smart). Also try installing a firewall, or DHCP or you can learn from me!
There are situations in which you may want to visit a site without leaving a trace of the visit. For instance you want to check what's going on at your competitor's site. Your visit will generate a record in the log file. Frequent visits will generate many records. Do you want to know what kind of records? see in http://fsu.virtualave.net/proxy/proxyck.htm or http://privacy.net/, http://www.leader.ru/cgi-bin/go?who, http://www.anonymizer.com/3.0/snoop.cgi - will tell you some scary info about what can be told about your computer via the internet.
Note that these tests are not very sophisticated. A dedicated "snooper" can often learn much more. Once I came across a server that tried to connect to my computer's disk while I was browsing ... that was an exciting experince. You should also remember about things like cookies (http://www.illuminatus.com/cookie.fcgi), hostile applets and java scripts, browser security holes and so on. So why don't we send someone instead of ourselves? Good idea.
Every computer connected to the Internet has a unique identifier called an IP address. On many networks, the IP address of a computer is always the same. On other networks, a random IP address is assigned each time a computer connects to the network. This is what we are referring to when we ask if you have a static or a dynamic IP address. If a system uses dynamic addressing, the IP can change quite often.
The Anonymizer has two more nice features. Firstly, there are WWW sites that are inaccessible from one place, but easily accessible from another. Once I was trying to load a page located in Australia for 20 minutes, all in vain. Using the Anonymizer immediately solved the problem. Secondly, there are certain sites that give you information depending on where you are "calling" from. Let's take an example. I was at Encyclopædia Britannica site, trying to check the price for their products. Clicking on Order Information button gave me the list of Britannica's dealers all over the world, no price info. Going to the same place via the Anonymizer led me to a different page, where I found the price list. As it turned out the local dealer's price for Encyclopædia Britannica CD'97 was several times higher than the one at which it's sold in USA. Good savings!
The Anonymizer is probably one of the most popular tools for anonymous surfing, but definitely not the only one. More and more similar services are emerging. A good alternative is JANUS (http://www.rewebber.de/) located in Germany. Janus is free, fast and can also encrypt the URL. Here is a quotation from their FAQ:
JANUS is able to encrypt URLs (uniform resource locator) in a way that these can be used as reference for a server. If a request with an encrypted URL occurs, JANUS is able to decrypt the URL and forward it to the server, without enabling the user to get knowledge about the server address. All references in the servers response are again encrypted before the response is forwarded to the client.
Most of proxy servers restrict access based on the IP address from which a user connects to them. In other words if you have an account with Bluh-Bluh-Com, you can't use La-Di-Da-Net's proxy server, access will be denied. Fortunately you can always find a "kind-hearted" proxy server on the Net the owners of which openly state that the service is publicly available, or a proxy server that doesn't restrict access that due to whatever reason, but the fact is not known to everyone.
How do you find a "kind-hearted" proxy server? Good news for lazy people: there are many lists of available proxy servers: http://fsu.virtualave.net/cgi-bin/fp.pl/showlog
For those who are not so lazy: find your own proxy server, it's real easy. Go to Altavista (www.altavista.com) and type something like +proxy +server +configuration +port, and you'll get the list of Web pages where ISPs give complete instructions to their users of how they should configure their browsers. Try every proxy address and after 5 or 7 failures you will surely find a proxy server that works for you. So let's say you have found a proxy, e.g.: some.proxy.com, HTTP port 8080. To make your browser use a proxy server fill out the corresponding fields in Manual Proxy Configuration tab (hope you can find it yourself).
Once you have carried out this simple operation, you can start surfing the Web leaving traces as if you are from Bulgaria, USA, North Korea (that would be fun!) or somewhere else, but ...there is one more very important privacy concern, "Is My Proxy Anonymous?"
If you get the message: Proxy server is detected! - then there is a security hole in your proxy, and information about your real IP address will be listed. If the message is Proxy server is not detected - everything should be OK. In any case, carefully study the list of IP addresses that is returned by this online tool. None of them should belong to you. You can also use alternative tests to check if your browser is anonymous. Such tests can give a complete list of the parametrs your browser passes to a remote server (this is called Environmental Variables). Proxys-4-All (http://proxys4all.cgi.net/tools.html) maintains a long list of environmental checkers.
Anyway, many breath-taking possibilities. Use your imagination!