How do I use a Proxy Server?

Everybody who have used proxies to keep his own privacy in the Internet asked yourself the same question: How much anonymous this particular proxy I'm currently using? In other words whether all my personal data is hidden or only part of it.
There are many different proxy anonymity classifications in the Internet. The simpliest way is to divide all proxies into two parts. First part of proxies are completely anonymous i.e. they hide all your private information. All other proxies are non-anonymous.

Transparent Proxy
This type of proxy server identifies itself as a proxy server and also makes the original IP address available through the http headers. These are generally used for their ability to cache websites and do not effectively provide any anonymity to those who use them. However, the use of a transparent proxy will get you around simple IP bans. They are transparent in the terms that your IP address is exposed, not transparent in the terms that you do not know that you are using it (your system is not specifically configured to use it.)

Anonymous Proxy

This type of proxy server indentifies itself as a proxy server, but does not make the original IP address available. This type of proxy server is detectable, but provides reasonable anonymity for most users.

 High Anonymity Proxies

These proxy servers are called “high anonymity proxy” or "elite proxy". In contrast to other types of anonymity proxy servers they hide a fact of using a proxy:
REMOTE_ADDR = proxy IP
HTTP_VIA = not determined
HTTP_X_FORWARDED_FOR = not determined
That means that values of variables are the same as if proxy is not used, with the exception of one very important thing – proxy IP is used instead of your IP address.