I used to use a program called AutoHideIP, which basically allowed me to choose which country I wanted to reside in, then it gave me a corresponding IP address to that country via a proxy. Some forums and download sites are blocked if you live outside the particular country. Also if you have gone over your 'free' download limit for the day with a site like upload.com it was handy as you could just pick another country and get a new IP address.
I found that even though most of the time I didn't have it turned on, in firefox it never stripped the proxy setting back out when i disconnected. I would imagine that your browser, chrome, IE firefox etc may still have the proxy set.
What i found really clever was Google's homepage. If i decided to pick say an Italian IP address, i'd open my browser after connection and I would be faced with Google as normal....... but in Italian !