A bit of a more detailed explanation. In the http instance, a proxy works like the follow:
1) User requests the url from the proxy server
2) The proxy server visits the website that the client requested
3) The proxy then changes the website if there is explicit settings
4) It then shows it back to the client
So thus your computer never actually visits the website you requested, the server actually visits it. You can prove this by going to any free anonymouse proxy and going to: www.whatismyip.com
. It will be the server that the proxy website is on.
However, these http proxies are not 100% fool proof, some java scripts and alike can still get your real IP address, but you can find out how by searching google.
As slack said, there are plenty available around the web, and id be checking with your web host before you try running one as most do not allow it. Search for phproxy or cgi-proxy if your host allows you to run one.