Great link Drewdad!!
just a quick explaination on how proxies work when your own connection doesn't. A proxy does what the name implies; it acts on your PC's behalf to pass data to and from your PC. In other words, you are letting the Proxy do the internet browsing for you.
This can be good and it can be bad. Please be sure to keep your antivirus and firewall up-to-date as security can sometimes be compromised. Additionally, just because you're using a proxy, it doesn't mean your actions are completely hidden and untraceable. I know you're just looking to view PBS or other local sites specific to countries, so it wouldn't necessarily be a concern. But still, a little knowledge goes a long way and you can't be too careful when it comes to safe computing.