On top of using “private browsing” or “incognito” mode, check out Tor to keep your presence anonymous over the Internet pipelines. You can definitely use an anonymizer site, but the interface of Tor is way better.
Tor offers an installer bundle or a “just-copy-and-execute” bundle. I’ve been using it along with the Firefox add-on for a while and have been happy with it.
Note: Your connection is a little slower, but it’s worth the peace of mind you get. Also, it’s very useful if you’re downloading from sites like hotfile.com. =o)