Depends what kind of general advice you want
My configuration (I use it at work to bypass the company firewall):
Internet Explorer is configured to talk to an external Squid proxy on port 25 (that's the SMTP socket for mail).
Thus, any HTTP requests originating from my machine are thrown outwards to my friend's proxy (and look to an untrained network administrator like mail).
That's a Linux box running Squid, which takes my request, grabs the page, images, etc, and spews it back at me on port 25 (again, looking like mail).
I have a similar proxy setup going on my ADSL line (which uses a dynamic IP->static name mapping system to always be resolvable by name) as a backup too.
HTH,
Ref.