Surfing Anonymous

[debi]

Hi,
I've got a general Linux and network question.
There are some programms for Windows to surf anonymous through the net. I cannot really imagine how they want to do this. Is it the common no cooky stuff, or is there really any way of concealing your ip?
What are this programms able to do?

thx

[probono]

Perhaps you want to check out
http://klik.berlios.de/?view=JAP
and
http://anon.inf.tu-dresden.de/index_en.html