Working w. Proxies..

I'm on the road a fair bit and like to watch my local sports teams via the internet. But for baseball I can't watch anything on the net due to local blackouts.

I can use a free proxy server from the US and get the access no problem, but this then makes MSN inoperable. I like the MSN as I can chat with family while on the road...

Is it possible to block my IP {for free} so that the sites I'm connecting to can't tell where I'm located? If not for free how much would it cost to get a DECENT piece of software that will do this. I have looked around and see there is a bunch of software available, but I was hoping for feedback on one or two of them...