"How" or "why?"
If you're on a home network without a proxy server you don't have a need for this.
You can't keep your IP address from showing up on the Internet because your DSL router has one. You may be able to spoof your IP but that's a different subject.
If you're concerned about privacy, try something like
www.anonymizer.com. It'll allow you to surf pages without setting up a proxy, however you can use their proxy if you want.