Heres a simple straight to the point tutorial I uncovered the other day for all you anonymous people.

Chaining Proxies
The Desperado

A proxy server acts as a gateway between you and the Internet. With a
proxy server enabled on your Web browser, your request for a web page
(or a download) goes first to the proxy server, where it checks if
someone had previously accessed that page (or download). If it finds
one, then it will just give it to you from the proxy server -- that
makes loading a page or downloading something significantly faster. If
the proxy server doesn't detect an already existing page or download,
it will go out to the Internet, get the page or download, and give it
to you. Since it is the proxy server that actually connects to the
site you are viewing or downloading from, it is the IP of the proxy
that is left in the remote server's logs, and not the IP that you are
currently using.

Many proxy servers keep logs of the IP's that have connected to them,
however, if you use a proxy physically located in a country that is
not especially friendly with the one in which you reside, it can make
it difficult for someone to obtain the logs, even with a subpoena. You
can increase the level of difficulty by "chaining" proxies, or having
one proxy connect to another proxy. To maximize the difficulty of
tracing the originating IP, each proxy should be located in a
different country.

To use a proxy server with Internet Explorer.
1. Open up Internet Explorer.
2. Go to the View menu and select Internet Options.
3. A window will appear with several tabs along the top. Click on the Connection tab.
4. Click on the checkbox by "Access the Internet using a proxy server" to activate it.

To use a proxy server with Netscape Communicator.
1. Open up Communicator.
2. Go to the Edit menu and select Preferences.
3. A window will now appear, with your options listed on the
left-hand side. Double-click on the word Advanced.
4. When you click on Advanced, three options will appear: Cache,
Proxies, and SmartUpdate. Click on Proxies.
5. You’ll now see some options with radio buttons beside them. Click
on the radio button beside
"Manual proxy configuration" to select it.

One SIMPLE way to "chain" proxies is to enter the information for one
proxy directly into your browser's proxy configuration setup. Then
connect to a web anonymizer which is also a proxy, and from there, to
the site you want to view. Anyone trying to trace your actual IP would
now have to subpoena the logs from TWO proxy servers. You could chain
in a third proxy server by entering it into the address bar of your
browser, in conjunction with the URL of the web anonymizer. The URL
that you type should look something like this:


This would, in effect, connect you to proxy A, the one specified in
your browser configuration, then to proxy B, then to proxy C, and
finally, to the web anonymizer, from where you would enter the URL of
the site you want to visit, using FOUR proxy servers chained together.

This does not work with all proxies, and finding publicly accessible
proxy servers is becoming more difficult.