Proxy servers are simply another computer acting as a middle-man between you and the site. They allow you to overcome restrictions put in place by your network administrator and they can also shield your identity from the site you visit.
More info on Proxy Servers:
Public Proxy Servers
To setup a proxy server in Internet Explorer: TOOLS, INTERNET OPTIONS, CONNECTIONS, LAN SETTINGS, under PROXY SERVER, check it and then add an IP address of a valid Proxy server.
There are tons of public anonymous proxy server lists available if you just Google them. Do a search for PUBLIC PROXY SERVER
Try this list for starters
Public Proxy Servers Page 1 Public Proxy Servers Page 2
Find one you want to try and enter te IP address and the PORT and the section mentioned earlier, then you must close and reopen your browser. Don't give up if the first few do not work...keep trying...some of these lists are old.