Many mice surf the web under the illusion that their actions are private and
anonymous.Unfortunately, it isn't so. Every time you visit a site for a piece
of cheese, you leave a calling card that reveals where you're coming from,
what kind of computer you have, and other details. And many cats keep
logs of all your visits, so that they can catch you!
From http://anonymouse.org/
This problem can be overcome by using proxies.
List of Website that offer free web proxies
A very important resource on Internet Privacy.
Do click on the link below for those who are interested in
these matters in detail.
http://dmoz.org/Computers/Security/Internet/Privacy/