This is how it works,any information that flows through the anonymous proxy first, then reaches the destination,so this means the IP[32-bit address] address of the proxy machine gets logged where ever I go & not my IP address.This seems all Oober & make a everyday joe feel ultra cool at first but if you think logically then this is a stupid mistake.Agreed you arent stamping your authority everywhere you go when you log-in to the internet but what about the machine through which information is flowing[anonymous proxy machine] ? Can you trust that machine? Anyone with administrator priviledges on the machine can make a profile out of your internet activity,you ask how? Well since the information is flowing through that machine anybody with a decent amout of knowledge & proper tools[Ethereal] can sniff every single piece of information thats flowing & easily make a port folio of you for malicious purposes.
What more scares me is that there are more such free services available lying around the internet than any reputed paid service.Incase there are then please do let me know.But the practical aspect still remains the same for both.
What seems more amusing is why do people wanna hide? My point is if you got nothing to show then why worry about someone who has your IP address?
Below are a fewbasic pointers to secure your machine,
1.Disable un-necessary services.
2.Close open ports.
3.Install a firewall possibly a hardware since that would take the load of your processing which would otherwise be required in the case of software variants.
Btw a hardware firewall doesnt have to be a appliance firewall like Cisco PIX... but even a old machine lying around can perform firewall like capabilities.The definitions are changing my dear friend.There are freebie solutions like Smoothwall,Clarkconnect which are based on GNU/Linux can pretty much help you in getting what you want at a 0$ price.Some may say even routers can perform firewall like functions,which is true under certain products & rest plain vanilla routers are just NAT routers which block everything that isnt requested from the inside.
4.A good Anti-virus which is frequently updated really helps catching the malicious code.
5.Oh how did I miss this? scumware,its all about spyware,adware,dialers,trojans which all collectively qualify as scumware.The new threat on the internet these days.
There are few programs which like Spybot Search & Destroy,Adaware & MS Anti-spyware[this is a really cool product,i'm mightly impressed] which are must haves !
6.And most importantly common sense & you should be on your way to safe hex !