Anonymous Internet-How hard to set up?

Was just thinking --- I remember hearing that a bunch of college students got zapped for downloading songs, etc. - so - isn't there a way to definitely 'hide' who you are when you're logged on????

I'm more on the application coding side and haven't had the chance to work/experiment with the Internet.

I do remember read about "Anonymizer.com" but I believe that it requires a yearly $$ subscription.

Is there a "freeware" way to do this?

TIA!!!