When you visit web pages, records are kept of your interest
and surfing patterns. When you're in a chat rooms, someone can
use a basic networking tool such as "natstat" which
will give them your IP. In return the can try to nuke your computer
or just flood it with information to knock you off line.
To prevent this, we use proxy servers. Their like the middle
men on the internet.
[your computer] <> [Proxy] <> [www.evil-server.org]
As you can see. We can trick the last server into thinking
where some where else. A lot of times Admins. will block access
to their systems from domains or even other countries because
of known vandal attacks. Say you run into a web page that says
access denied. Try bouncing through a proxy in that country. It
will most likely let you in.
Most ISP's have proxy servers on their networks. These allow you to mask your identity by having the proxy server request the necessary pages that you want to view. Of course, if you use your own ISP then the track doesn't stop there. Your ISP can (and has been known to) track who goes where as they have the details of the requesting computer. They cross reference their dialup records (most ISP's now use CLID (caller ID) on their networks. Some even INSIST that you have to use it to send email (Freeserve being just one that I know) or upload any webpages to an ISP's freespace). So they can then trace back who called and pass your details to the police if the need arises.
Where can you get a proxy?
http://proxys4all.cgi.net/public.shtml
The ultimate way to remain anonymous is to try to find a dialup connection that doesn't require any login deatils (Free ISP's are the best for this). As long as you put *67 in front of the telephone number they shouldn't be able to use CLID.
Here is a link to a free ISP.
http://www.netzero.net/