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There's a much easier way to do this with ssh tunnelling.

Just get an shell account on a machine in the US and use ssh. The advantage is the infinitely easier set-up and that shell accounts are usually cheap or free (I'm not sure as I've never had to get one).

Here's a tutorial:

http://ubuntu.wordpress.com/2006/12/08/ssh-tunnel-socks-proxy-forwarding...

And here's a list of free shell services:
http://www.red-pill.eu/freeunix.shtml