SSH stands for Secure Shell, and is a way to securely administer a remote machine. In addition, SSH allows for secure file transfers (via SFTP) and tunneling of data through the SSH connection.
Using the OpenSSH client on the command line, all you have to do is add a single option, eg.
ssh username@server -D 9050
In PuTTY:
This creates a SOCKS proxy on port 9050 of the local machine. Point your browser (and other apps) at this to bypass any local filter (as long as the filter allows SSH connections)