Comment FYI (Score 1) 211
Just so you know, some of these file sharing services block IPs coming from well known (often commercial) proxies. There are, of course, other sites that block IPs from proxies too which may or may not adversely affect your Internet experience while using said proxy.
The main reason to use a proxy when doing things like file sharing is to avoid detection by your ISP. Some ISPs are quite nosy and will block you from file sharing sites especially if they notice you are consuming "too much" bandwidth transferring data from those sites. In cases where your ISP is the only broadband game in town you may want to add an extra layer in between what you are doing online and the ISP and a proxy can be useful to that end. When the copyright owner complains they will complain to the operator of the proxy which then may terminate your (proxy) service but hopefully your ISP is kept out of the loop.
I would never trust a proxy to make me completely anonymous no matter where it was physically located. If you commit a serious enough crime no proxy will protect you.