When you go online, you leave tracks all over the place. You could be hanging out with friends on IM, checking out websites, or downloading music. If you live in a country where snoops are prying into what ordinary citizens do online (lke, um, the US) you want a way to cover those tracks.
If you're in school, though, then it's even worse. No matter what country you're in, chances are that your access to the internets is as snooped-on as any police state in the world.
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