Is there an anonymous proxy application for Ubuntu?

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http://askubuntu.com – I've been digging around to find a proxy application something like proxifier in windows but cannot find any thing! and then tried to configure the system wide proxy setting in network section of Ubuntu’s system setting and I configure the proxy setting but it seems it does not apply anything... here is my questions : Is there any proxy application to use like proxifier in windows!? If there is no proxy application how can I configure system's proxy setting manually!? thanks in advance (HowTos)