Steps

Setting up a proxy for Microsoft Internet Explorer 

• Find a proxy host.

• Open Internet Explorer, and click on Tools>Internet Options.

• Click on the "Connections" tab, and then the "Lan Settings" button.

• Locate "Proxy Servers", then click the box for "Use a proxy server for your lan".

• Copy the IP address (the string of numbers that looks like 123.45.67.89) from the proxy list you found, and paste it into the "Address:" box.

• Copy the port number from the proxy list, and paste that into the "Port:" box.

• Click "OK", and then click "OK" again.

• Follow the same instructions as above, in step 1.

• Open Firefox, and click on Tools->Options.

• Click on the "Connection Settings" button under the "General" menu. (In v.2 it is under the 'network Tab' of "Advanced" menu)

• Click on the "Manual Proxy Configuration" radio button.

• Follow steps 5 and 6 from above, copying the IP address and Port number.

• Click "OK", and then click "ok" again.

Alternative Techniques

• AceVPN.com offers complete Internet privacy. They offer both free and paid SSL VPN service. The service is based on openvpn and can run on Windows, Linux, Mac and select routers. They are highly recommended by few popular tech websites and blogs. http://www.acevpn.com/.
• Anonymouse.org exists since 1997 and is one of the oldest privacy-services around. It offers anonymous surfing, emailing and posting for free under http://Anonymouse.org/.
• Proxy Checker allows to check Proxies online and determine their location and ISP. The site also lists in realtime working Proxies. Check Proxies here Proxy Checker.
• UnlockMyspace.com is a free web-based proxy that is becoming increasingly popular. It enables you to surf anonymously a web site by entering its address in http://unblockmyspace.com/.
• Tor For a superior means of anonymous browsing without the hassle of unreliable proxies and constant, work-intensive list look-ups, use Tor, an anonymous system sponsored by the Electronic Freedom Foundation.
• Netonomous.net is a PHP based, free web proxy service which allows you to surf through their server without revealing your IP address. http://netonomous.net/ also provides various option to customize surfing.
• Anonymouschannel AnonymousChannelmission statement is protection of privacy of our customers by securing their internet connection and anonymizing their IP address.
• Surf in peace Free list of unblockers / proxies - surf in peace
• GoTrusted allows users to surf the web anonymously without the use of a proxy and is the only service that encrypts your data with unpenetrable 128-bit SSL. Download GoTrusted.
• VPN for anonymous surfing Anonymous Surfing with VPN / VPN service
• BeHidden.com User is lunching own proxy instance for his/her surfing internet needs. High reliability and speed. Good Support. - beHidden - Anonymous Web Surfing Proxy
• Super VPN Services offer paid and free vpn services which provide you anonymous web surfing solution for personal and business use. Super VPN Services.
• GoVPNGo.com offers free VPN accounts as well as paid service. With web panels to configure IP types and server locations freely. Anonymous browsing; Instant setup; Surpass web barries and restrictions on local area; Support VOIP and P2P. - GoVPNGo - VPN, Secure Private Unblocking Internet Conection Service

• Some proxy lists are updated every couple of minutes, and will remove proxies that are no longer working.
• If you need to pick a new proxy, first go back into Tools->Internet Options menu (Tools->Options for Firefox), and undo the proxy settings. Find a new proxy, and try again.
• Also using What is my IP will show your IP address as the proxy IP address. This is how you know you are in fact connecting to the web through the proxy. If you connect through a proxy in Japan, this should show their IP address and location, not yours.
• To determine whether or not your proxy is truly anonymous, you can use What is my Proxy. This site detects proxies that still pass on your original IP address in addition to your new, masked IP.

• Not all proxies on the proxy list you find will work. If you try to surf the web after configuring a proxy and get a connection error, that means the proxy you picked no longer works, or their server is down. If this happens, pick a different proxy.
• Your web surfing may slow down just a bit when connecting through proxies. That's because any document or file your browser is trying to download must first go to the proxy server, and then to your computer.
• It is also a very bad idea to use a proxy for a secure connection as it is possible to have your information captured. All a hacker would need to do is make the proxy a caching proxy then make that cached login page non expiring. The user on the other end would never even know that the page he was seeing was not the real page. On clicking "submit", in some cases it's possible for the faked page to both log the user in to the page and send the information to the hacker on the other end.