Anonymous proxy servers destroys information about your computer in the requests header. So you can safely surf the net and your information will never be used by hackers and spammers.
More importantly, if you are at work and you want to visit a website such as this one, but you don't want the I.T guys which sites you have visited, use an anonymous proxy server.
Simply go to
Proxy Servers - Page 1 of 11 and type the URL into any of the proxy servers listed on that site.
As far as deleting your tracks is concerned - well that is a bit different.
Every time you do a keystroke on your PC, the information is cached (saved) or saved as a "shadow copy".
Even if you delete a document and empty your recycle bin, the document can still be recovered.
As Svengali suggested, there are a number of utilities (both free and for sale) that are available to delete all that information forever.
A great Free utility to use is called Internet Eraser - it is brilliant, easy to install and very easy to use. You can download it here -
Free Internet Eraser - Free software downloads and software reviews - CNET Downloads