Proxy threath and drawback

The proxy, in general case, is transparent (invisible) to the client and server programs, except that
performance may be decreased slightly and they may have to be configured to use different tcp/ip port numbers and host names or IP addresses.  Sometimes proxies only filter a kind of connection like browser (port 80) and not other, so you can not for example use https.

DO NOT use one of the anonymous open free proxy lists.
While thinking that you have made yourself more secure, you have actually opened yourself up for attack. When using an open proxy server, your PC is making a direct connection to another computer. You also do not know who is in control of this computer. Your passwords can be sniffed and your firewall tunneled. Your privacy can also be invaded as this person reads your email, snags your ICQ, IRC, AIM, MSN messages or any other unencrypted data.