pranav81 wrote:So how do I configure proxy on a single computer?
You don't, at least not for "anonymous" surfing. If the proxy runs on your computer, it will use your computer's IP address. It can't do anything but that. The only way a proxy server can give some measure of anonymity is if it is a public proxy server on a separate machine with thousands of people using it.
A proxy server receives your request then rewrites it, in effect, so that it appears to be originating from the proxy. It then connects to the final destination to get the data you want. That final destination sees the proxy server's IP address rather than yours and returns the data to the proxy server. Then the proxy server, which does know your IP address, returns the data to you.
However, a proxy server does not in and of itself provide anonymity. If your proxy server is running on the same machine as your browser, then it has the same IP address and nothing is hidden at all. If your proxy server is running on a separate machine but you are the only user, then any request from the proxy can still be deduced to actually have originated from your browser. And even if the proxy server is a separate, publicly accessible machine that many people use, your request could still be traced back to you if the proxy server keeps logs of requests it handles or an outside organization keeps tabs on connections going into and out of the proxy server.
Finally, even with a perfectly anonymous IP address, there are still other means to potentially glean a little or a lot of information about who is connecting to a site, including cookies, web-bugs, unique URLs, etc.