Yes, there are programs that let you connect to public or private proxy-servers. If you want encrypted traffic then you want to use virtual private networks (VPN). Here is some information on Encrypting Network traffic on Linux:
http://encryptionhowto.sourceforge.net/Encryption-HOWTO-5.html
Have you hear of GNU is not Unix. Well Linux iisn't Unix, It is like Unix, but it isn't Unix.
Unix Flavors - FreeBSD , OpenBSD , OS X
Linux Flavors - Redhat (Fedora) , Debian , Suse
If your just starting out I suggest getting knoppix. You don't need to modify the hard drive, just burn the cd and boot from it. You can download the ISO image from here:
http://www.linuxiso.org/distro.php?distro=44
Once you feel comfortable and decide to use linux more regularly, I would go with Suse, Fedora, or Mandrake. The installation is very easy, and getting easier with every release.
Finally, after many years of experience, you might want to move to Debian or OpenBSD.
And if your feeling ultra elite and want ultimate control over your computer, then you might want to build your own flavor/distro from scratch.
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Links:
http://www.knoppix.org/ <-Click on KNOPPIX Link
http://www.suse.com/us/index.html
http://fedora.redhat.com/
http://www.mandrakelinux.com/en-us/
http://www.debian.org/
http://www.openbsd.com/
http://www.freebsd.org/
http://www.linuxfromscratch.org/