If you'd like to do more than just hide your IP or access blocked websites, or if you'd like to hide your activities from nosy coworkers, employers, parents, spouses, or children, keep reading. There is a lot of good, free software out there that will help you do what you want to do while hiding your tracks.
A web proxy - like Browse Freely - is good to circumvent access controls at work or at school, and has the benefit of hiding your IP and browser information from sites you visit. It doesn't really hide what you're doing from your ISP, or your (or others') government. To do that, you need to encrypt your browser connection. The absolutely easiest way to do this is to get PuTTY, a free SSH client for Windows that can be run "portable" from a USB thumb drive or even a floppy disc. Read the documentation, or see this illustrated how-to to learn how to encrypt connections between you and a server, and proxy thru that connection to browse the web from a server. Don't have access to a server? Search Google for free shell account providers, and you should be set.
Send and receive a lot of email? Pretty Good Privacy and the GNU Privacy Guard are email and file encryption programs that are simple, secure, and easy to use. If that isn't good enough, head over to TrueCrypt and download their free disk-encryption application. Do the instant-messanger thing? Get Trillian, the multi-service IM client that supports high-quality encryption.
If you haven't already, get Firefox - just click on the button below. For maximum versatility, get Portable Firefox from Portable Apps, put it on a flash drive, and never be without a fast, secure web browser. Whether you're using a regular or portable copy of FireFox, there are a couple settings you can change to better protect your security and privacy:
Disable your browsing history. Don't save information entered in forms or search bars. Don't have FireFox remember passwords. Purge your download history automatically. Only accept cookies for the originating site, and set FireFox to delete cookies every time you exit the browser. Don't use a cache. Disable Windows' page files. Block popups and untrusted ads, and disable both Java and Javascript.
You might not think you need any of this software, and it might even be true. However, there's no such thing as "too safe", yet "safe enough" often proves not to be. At the very least, take a few minutes and see what tools are out there to protect your privacy. Someday, you or someone you know might need them, and ignorance is no excuse for anything.