Simply download and install JAP from this website. It is free!!!
Then load the program from the start menu folder, run through the configuration of the program and then configure your internet browser as thus:
Internet Explorer > Connections > LAN Settings > Use a proxy server:
If you configure IE to use JAP then you may find several other applications will start working as they use Internet Explorer's setting's to connect to the internet. Otherwise, see if there is a Proxy button/tab in your program's settings.
There is also an anoymous feature to the program, but it does slow it down a little bit. You can also buy a subscription, but at the moment the program seems to have good speeds :)
You will need to have installed Java from www.java.com - however the JAP installer already has a Java downloader available if you don't have it already.
NOTE: The proxy does not seem to like it when you login to online profiles such as MySpace, Facebook or YouTube - so I don't recommend using JAP for those. In that case, use something such as www.hidemyass.com, or search Google for "proxy".
If you want to buy a subscription, you could also try Your Freedom (check my older messages for more details...)