I read about setting up a proxy server for myself, but I don’t know how to go about it.
I just want my ID to be a little less open to scrutiny on the web than it is now. I read here that it’s not actually necessary to have a proxt server to get greater privacy.

You are correct – Use Proxomitron to hide everything about your computer except for your IP (which is OK).
This free proxy is packed with everything you could want and I think you will love it!
You could always set up a hosting account on a cheap web host and install your own proxy – you and your friends could use it to surf the web, and, your IP would also be hidden.
But – I’m sure downloading proxomitron will do the trick!
Regards,
Jim.