I have posted several times on this blog about proxies. They are simple to setup and most of the time effective. Their problem is the speed and the security provided. The fact that you don’t know who is behind the proxy you use should worry you a little bit. So, my advice is to use them to unblock certain sites but do not enter your private data like passwords, credit cards, etc.
Here is another video on how to use proxies provided by HowToVids.info:
P.S. Are you looking for premium proxies? Here is what I recommend: Anonymous Proxies.
