You can download Ad-aware here: www.lavasoftusa.com
Like avdeven said, it's free and it removes spyware components from your computer. Registry entries, directories, programs, etc.. If you're concerned about privacy, you should use SOCKS or an anonymous proxy. SOCKS are very slow though but if you wish to use it here's a list of servers: http://theproxyconnection.com/proxylist2.htm

If you'd prefer a proxy then try Multyproxy.
MultiProxy is a multifunctional personal proxy server that protects your privacy while on the Internet as well as speeds up your downloads, especially if you are trying to get several files form overseas or from otherwise rather slow server. It can also completely hide your IP address by dynamically connecting to non-transparent anonymizing public proxy servers. You can also test a list of proxy servers and sort them by connection speed and level of anonimity.
You can download it here: http://www.multiproxy.org/downloads.htm

If you use SOCKS then you should also use a web proxy to speed up your internet viewing. Check out The Proximitron if you decide to do so. It can maintains a list of different proxy servers and allow you to easily switch between them. You can even test proxy servers for accessability and see what, if any, HTTP headers they may add.. and it's free. You can download it here: http://proxomitron.org/