never use internet explorer to do tricky stuff as it might reveal your ip.
my personal favorite browser is opera 4.0 (http://www.opera.com/)
if you looked carefully to what is displayed when you go to
the http://internet.junkbuster.com/cgi-bin/show-http-headers page, you might
have noticed that a lot of stuff about our client is being sent.
to avoid this, we could install another proxy between the sockscap and the
sockschainer proxy that would filter out those things.
A4proxy is an example of a proxy capable of doing such things.
remember, if you want to do the real stuff, better switch to linux.