A surprising amount of information about you can be gathered as you surf the Web--including the operating system you use, the sites you've visited recently, your geographic location, and possibly your company (based on your IP address).
To keep these pieces of information private, try Tor, a free program that protects your anonymity as you surf. Tor takes all of your Internet communications, including instant messaging and other Internet applications, and sends them around a large network of "onion" routers that are Tor servers, making it impossible for sites or people to invade your privacy.
The Tor download includes other software that you need for maintaining your privacy--notably Privoxy, a proxy program. The programs work well together; and because the software self-configures, they are simple to use. Tor runs in your system tray. To become anonymous, right-click the icon and choose Start. From that point on, you'll be anonymous. To stop surfing anonymously, right-click again and choose Stop. You can even change your Tor identity for maximum cloaking.
Note: This program is donationware. It is free to try, but the author accepts and encourages donations towards further development.