Greeting every one.

I have problem understanding the concept of “Proxy Severs”. I am new to field of computers and my scope of knowledge is very limited but willing to go extra mile to gain the subject knowledge.I was reading about proxy sever at the following http://www.the-scream.co.uk/html/resources/proxies.html link and a http://directory.google.com/Top/Comp...Proxies/Free/. I have two queries:-

1.Do I have to download a pieces o software and installed on my system , then connect to the internet or do have to visited a website and through that site browse the net. Which option is more safe? I down loaded a proxy sever named “AiSAliveProxyServer” but that is for 15 day trial period only .Can any one suggest only freeware proxy severs for IP hiding/masking and other stuff required to remain a anonymous on net.(For windows)

2. Is this “Proxy Sever” used to hide IP address same was the one used to test server side scripting (ASP& JSP)? Here my reference is in regards to IIS for WinNT and personal web sever for Win98.

Thanks