First off, what is a proxy? A proxy is essentially a "tunnel" between your computer and the computer you are attempting to talk to. The latter computer may be a web server, game server, or any other type of server.
Why do we use proxies? Because we are going through a tunnel, the server does not know your IP address, and no outside observer can tell what server you are actually communicating with. They will only see that you are talking to the proxy server.
This means that a proxy is good for getting around filters(So long as the proxy server is not blocked, you can access anything through it).
It can also be used for malicious and or annoying purposes - Getting around bans of various sorts, and causing trouble that cannot be traced back to you. I strongly suggest that you
do not cause trouble online - You aren't *entirely* safe, if you give someone a good enough reason to look for you.
Proxies come in multiple types.
First off, there is the "web proxy". These are webpages that you go to to browse the internet, there are a whole lot of them, and are not the fastest proxies. They also do not encrypt what is sent to you, so "content filters" will still filter your data. Most advanced scripting will not work(so, like flash games and such), or go around your proxy, negating the effects of it.
Next, there is the generic proxy server, where you will be given an IP:PORT(Port is generally 80 or 8080) address, and you will need to configure your browser to use it. These, if you can find a working one, are a little better than web proxies, as scripting works with these. However, they too only work with web pages - no gaming, no runescape, and generally no IRC.
Now, you have the
TOR proxy software:
These are a bit better, providing end to end encryption of your data, and your data is bounced through *3* separate servers. This, while providing better anonymity, makes the connection slower. You *may* be able to game through this connection, but it will be laggy.
The final type of proxy server is the SOCKS server. These provide encryption of your data, and it doesn't matter what type of data it is - You can game with one of these, provided you find a decent one. The big problem is that everyone else in the world knows this, and is also competing to use all availaible public SOCKS servers.
There are a few services out there that have "private" proxy servers, which you have to pay a few $ a month to gain access to - It may be worth it, or it may not.
Now, there is another way of making a SOCKS server. What you need for this option is a linux "shell account"(google it), one that supports SSH, and has a connection to the internet. You also need
PUTTY, so that you can actually *use* this shell account.
A shell account basically is a command prompt on another computer - You can do stuff on that other computer via your connection to the shell.
PUTTY is a client that allows you to connect to a shell, and also it has an interesting feature: Tunneling. Remember back at the top, when I said that a proxy is a tunnel? Yup.
Once you have putty set up to connect to your shell via SSH, all you need to do is open up PUTTY, and on the "configuration" screen which pops up, scroll down to "tunnels", which is under SSH, and set a port: You want to set Dynamic, Auto down at the bottom, and type in a port number where it says source port(I use 8080).
Now, once you connect and login to your server, you simply need to set whatever program you want to have use this proxy to 127.0.0.1 with port 8080(or whatever you chose). The type is SOCKS4(socks5 may work too)
Once you have that, you ought to be able to do anything you want via the proxy, just so long as you login via PUTTY first(and leave the terminal window[you will know what I mean] running[minimizing it is fine]).
(If anyone gets a proper shell, I will expand on this)
The big hard part is finding a shell to use - Most of the free ones have requirements: Forum posting, a little one time fee, or sending a postcard to the server's owner(Which also is good - it keeps others out, allowing you to be on a less-used server). If you are willing to pay a few $ a month, you can get yourself a paid shell, which would be better.
Oh and one last thing: Read the TOS. Some services don't like people doing this, although a fair number don't care. Just read it; there are plenty of other hosts if one particular one doesn't support it.
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Personally, once I got mine setup(No, you can't get a shell on my server, sorry), I have been using it to play Halo: Combat Evolved at school, which blocks it normally. I get 100-200ms pings, which, while not great, is good for using a proxy in another country(Yes, it is in a different country from me).
Hope that explains some stuff - Ask questions and I shall elaborate.
-Robbie