Like I say, check out Tor.
But think of it this way:
Your machine --------------------> Some secret computer.
You don't want the secret computer to get hold of your machine's IP address, so you use a proxy.
Your machine ------> Proxy ------> Some secret computer.
Now, when you reqest information from the secret computer, instead of you having to tell it to send that information to your IP address, instead you can just tell it to send information to the proxy's IP address, so that the secret computer doesn't know your IP address.
So far so good. But how do you intend to get the information from the proxy to your machine (presumably the idea)? The proxy will have a journal on it, and knows that information from the secret computer must be forwarded on to the IP address of your machine.
Anybody who has access to the proxy (e.g., MI5, those type of people), will be able to see where this secret information went.
Tor does things a little differently, but the general idea is to use many proxies, and encrypt some stuff so that no one proxy knows where the entire stream of data went. It works well, but it's still not flawless.