She didn't seem to get the irony of the situation. It's more difficult online though. Every step you take is or could be monitored, by your ISP, by your boss, by your teachers at school, by anybody with to much free time on their hands if they really wanted too. To circumvent these shackles to free browsing anonymous proxy servers were developed and placed online. They work just like the proxy server you might have at the office for your network.
All Internet traffic is funneled through the proxy, for safety, monitoring purposes, etc.
An anonymous proxy server acts as a go-between, between you and the rest of the Internet, hiding your IP address so that you're virtually untraceable while your surf the Web. Like jelly doughnuts though, not all anonymous proxy servers are created equal. Many proxies claim to be fully anonymous but in some form or another aren't quite that secure and private. Even proxies that fully remove your IP address may still be sending other identifying data on purpose or accidentally without your knowledge. Just by looking at a so called anonymous proxy won't give you any indication whether or not it's safe.