I have seen a number of complaints on site access restriction by their Internet Service Providers, request to change IP address so as to gain access to some websites where their original IPs have been banned ( users mostly), or simply for anonymity in their browsing activity.
While it feels so cool to by-pass these, they "so-called" anonymizers in the real world, may be not to so anonymous afterall.
Read on:
In using a proxy server (for example, anonymizing HTTP proxy), all data sent to the service being used (for example, HTTP server in a website) must pass through the proxy server before being sent to the service,
mostly in unencrypted form. It is therefore possible,
and has been demonstrated, for a malicious proxy server to record everything sent to the proxy:
including unencrypted logins and passwords.

Imagine having your account details leached and your precious eMetal zapped out!!!
We use these proxies without knowing who is and what the intentions of the person(s) hosting them really is. No doubt, some are just in good spirit but remember, like the old saying goes,
"There's no honour amongst thieves!!!". . .in this case, since most people that choose anoymity engage in NOT TOO LEGAL dealing, their falling as victims is almost justified. The proxy host might just be waiting for unsuspecting users to access its service, and then steal stuff like your passwords, credit card information and a lot more.
For those that feel it can't be traced back to them, most anonymizers(proxy server hosts) that don't reveal data about the original requester(obfuscates activities from the eyes of the user's destination but not necessarily obfuscating the data on the proxy itself) don't have their
policies and administrators published with the appropriate regulatory bodies. In turn, most users may fall victim to a false sense of security just because those details are out of sight and mind.
Enough said nowthe choice to use or not to use public proxies is up to you!
Cheers!
PS: If you still want to use it but don't know how to configure it, go to this
Nairaland thread for explanation.