How to Run Your Own Proxy
So you want to access MySpace or use instant messenger from school or work? By connecting to your cable/DSL internet connection from school/work, you can! Here's how:
Web Proxy
If you only need access to restricted web sites from school or work, read this tutorial.
SOCKS Proxy
If you need to access restricted web sites and instant messenger, ftp, or other restricted protocols, read this tutorial (easier for Windows users). or this one (easier for linux/osx/unix users). Both tutorials work for Windows and *nix-based operating systems.
Encryped Communications with the Proxy
After you've setup a proxy with one of the above tutorials, you can encrypt all communication to and from the proxy so school/work can't spy. See encrypting with stunnel.
Further Reading
Tunneling Any Protocol over HTTP, ICMP, UDP, etc. using httptunnel, icmp shell, shadyshell, StegtunnelGNU httptunnel
GNU httptunnel v3.3 for Windows with tutorials
Firewall Piercing