Theres lots of tutorials on setting up bouncers such as:
http://www.lunarshells.com/install_psybnc.phpThey are generally setup on a *nix shell.
Most shell accounts will cost you (small amounts of) money...
If you do use proxy's, Be careful as alot of them are logged and they may log your passwords etc.
So can shells but they generally wont to keep you as a customer.
When choosing a shell account, Do some research on google and find out what other people have thought of that provider.